FdmDividendHandler::FdmDividendHandler(
const DividendSchedule& schedule,
const boost::shared_ptr<FdmMesher>& mesher,
const Date& referenceDate,
const DayCounter& dayCounter,
Size equityDirection)
: x_(mesher->layout()->dim()[equityDirection]),
mesher_(mesher),
equityDirection_(equityDirection) {
dividends_.reserve(schedule.size());
dividendDates_.reserve(schedule.size());
dividendTimes_.reserve(schedule.size());
for (DividendSchedule::const_iterator iter=schedule.begin();
iter!=schedule.end(); ++iter) {
dividends_.push_back((*iter)->amount());
dividendDates_.push_back((*iter)->date());
dividendTimes_.push_back(
dayCounter.yearFraction(referenceDate,(*iter)->date()));
}
Array tmp = mesher_->locations(equityDirection);
Size spacing = mesher_->layout()->spacing()[equityDirection];
for (Size i = 0; i < x_.size(); ++i) {
x_[i] = std::exp(tmp[i*spacing]);
}
}
FdmBlackScholesMesher::FdmBlackScholesMesher(
Size size,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Time maturity, Real strike,
Real xMinConstraint, Real xMaxConstraint,
Real eps, Real scaleFactor,
const std::pair<Real, Real>& cPoint,
const DividendSchedule& dividendSchedule)
: Fdm1dMesher(size) {
const Real S = process->x0();
QL_REQUIRE(S > 0.0, "negative or null underlying given");
std::vector<std::pair<Time, Real> > intermediateSteps;
for (Size i=0; i < dividendSchedule.size()
&& process->time(dividendSchedule[i]->date()) <= maturity; ++i)
intermediateSteps.push_back(
std::make_pair(
process->time(dividendSchedule[i]->date()),
dividendSchedule[i]->amount()
) );
const Size intermediateTimeSteps = std::max<Size>(2, Size(24.0*maturity));
for (Size i=0; i < intermediateTimeSteps; ++i)
intermediateSteps.push_back(
std::make_pair((i+1)*(maturity/intermediateTimeSteps), 0.0));
std::sort(intermediateSteps.begin(), intermediateSteps.end());
const Handle<YieldTermStructure> rTS = process->riskFreeRate();
const Handle<YieldTermStructure> qTS = process->dividendYield();
Time lastDivTime = 0.0;
Real fwd = S, mi = S, ma = S;
for (Size i=0; i < intermediateSteps.size(); ++i) {
const Time divTime = intermediateSteps[i].first;
const Real divAmount = intermediateSteps[i].second;
fwd = fwd / rTS->discount(divTime) * rTS->discount(lastDivTime)
* qTS->discount(divTime) / qTS->discount(lastDivTime);
mi = std::min(mi, fwd); ma = std::max(ma, fwd);
fwd-= divAmount;
mi = std::min(mi, fwd); ma = std::max(ma, fwd);
lastDivTime = divTime;
}
// Set the grid boundaries
const Real normInvEps = InverseCumulativeNormal()(1-eps);
const Real sigmaSqrtT
= process->blackVolatility()->blackVol(maturity, strike)
*std::sqrt(maturity);
Real xMin = std::log(mi) - sigmaSqrtT*normInvEps*scaleFactor;
Real xMax = std::log(ma) + sigmaSqrtT*normInvEps*scaleFactor;
if (xMinConstraint != Null<Real>()) {
xMin = xMinConstraint;
}
if (xMaxConstraint != Null<Real>()) {
xMax = xMaxConstraint;
}
ext::shared_ptr<Fdm1dMesher> helper;
if ( cPoint.first != Null<Real>()
&& std::log(cPoint.first) >=xMin && std::log(cPoint.first) <=xMax) {
helper = ext::shared_ptr<Fdm1dMesher>(
new Concentrating1dMesher(xMin, xMax, size,
std::pair<Real,Real>(std::log(cPoint.first),
cPoint.second)));
}
else {
helper = ext::shared_ptr<Fdm1dMesher>(
new Uniform1dMesher(xMin, xMax, size));
}
locations_ = helper->locations();
for (Size i=0; i < locations_.size(); ++i) {
dplus_[i] = helper->dplus(i);
dminus_[i] = helper->dminus(i);
}
}
