Esempio n. 1
0
// [[Rcpp::export]]
Rcpp::List europeanOptionArraysEngine(std::string type, Rcpp::NumericMatrix par) {

    QuantLib::Option::Type optionType = getOptionType(type);
    int n = par.nrow();
    Rcpp::NumericVector value(n), delta(n), gamma(n), vega(n), theta(n), rho(n), divrho(n);

    QuantLib::Date today = QuantLib::Date::todaysDate();
    QuantLib::Settings::instance().evaluationDate() = today;

    QuantLib::DayCounter dc = QuantLib::Actual360();

    for (int i=0; i<n; i++) {

        double underlying    = par(i, 0);    // first column
        double strike        = par(i, 1);    // second column
        QuantLib::Spread dividendYield = par(i, 2);    // third column
        QuantLib::Rate riskFreeRate    = par(i, 3);    // fourth column
        QuantLib::Time maturity        = par(i, 4);    // fifth column
#ifdef QL_HIGH_RESOLUTION_DATE    
        // in minutes
        boost::posix_time::time_duration length = boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60)); 
#else
        int length           = int(maturity*360 + 0.5); // FIXME: this could be better
#endif
        double volatility    = par(i, 5);    // sixth column
    
        boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote( underlying ));
        boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote( volatility ));
        boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
        boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote( dividendYield ));
        boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
        boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote( riskFreeRate ));
        boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
        
#ifdef QL_HIGH_RESOLUTION_DATE
    QuantLib::Date exDate(today.dateTime() + length);
#else
    QuantLib::Date exDate = today + length;
#endif    
        boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
        
        boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
        boost::shared_ptr<QuantLib::VanillaOption> option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);
        
        value[i]  = option->NPV();
        delta[i]  = option->delta();
        gamma[i]  = option->gamma();
        vega[i]   = option->vega();
        theta[i]  = option->theta();
        rho[i]    = option->rho();
        divrho[i] = option->dividendRho();
    }
    return Rcpp::List::create(Rcpp::Named("value")  = value,
                              Rcpp::Named("delta")  = delta,
                              Rcpp::Named("gamma")  = gamma,
                              Rcpp::Named("vega")   = vega,
                              Rcpp::Named("theta")  = theta,
                              Rcpp::Named("rho")    = rho,
                              Rcpp::Named("divRho") = divrho);
}
// dumped core when we tried last
// no longer under 0.3.10 and g++ 4.0.1 (Aug 2005)
// [[Rcpp::export]]
double binaryOptionImpliedVolatilityEngine(std::string type,
                                           double value,
                                           double underlying,
                                           double strike,
                                           double dividendYield, 
                                           double riskFreeRate,
                                           double maturity,
                                           double volatility,
                                           double cashPayoff) {

#ifdef QL_HIGH_RESOLUTION_DATE    
    // in minutes
    boost::posix_time::time_duration length = boost::posix_time::minutes(maturity * 360 * 24 * 60); 
#else
    int length = int(maturity*360 + 0.5); // FIXME: this could be better
#endif

    QuantLib::Option::Type optionType = getOptionType(type);

    // updated again for QuantLib 0.9.0, 
    // cf QuantLib-0.9.0/test-suite/digitaloption.cpp
    QuantLib::Date today = QuantLib::Date::todaysDate();
    QuantLib::Settings::instance().evaluationDate() = today;
    QuantLib::DayCounter dc = QuantLib::Actual360();
    boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
    boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
    boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
    boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
    boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
    boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
    boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
    
    boost::shared_ptr<QuantLib::StrikedTypePayoff> 
        payoff(new QuantLib::CashOrNothingPayoff(optionType, strike, cashPayoff));

#ifdef QL_HIGH_RESOLUTION_DATE
    QuantLib::Date exDate(today.dateTime() + length);
#else
    QuantLib::Date exDate = today + length;
#endif    
    
    boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));

    boost::shared_ptr<QuantLib::BlackScholesMertonProcess> 
        stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
                                                             QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
    //boost::shared_ptr<PricingEngine> engine(new AnalyticEuropeanEngine(stochProcess));
    boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::AnalyticBarrierEngine(stochProcess));

    QuantLib::VanillaOption opt(payoff, exercise);
    opt.setPricingEngine(engine);

    return opt.impliedVolatility(value, stochProcess);
}
// [[Rcpp::export]]
Rcpp::List binaryOptionEngine(std::string binType,
                              std::string type,
                              std::string excType,
                              double underlying,
                              double strike,
                              double dividendYield, 
                              double riskFreeRate,
                              double maturity,
                              double volatility,
                              double cashPayoff) {

#ifdef QL_HIGH_RESOLUTION_DATE    
    // in minutes
    boost::posix_time::time_duration length = boost::posix_time::minutes(maturity * 360 * 24 * 60); 
#else
    int length = int(maturity*360 + 0.5); // FIXME: this could be better, but same rounding in QL
#endif
    QuantLib::Option::Type optionType = getOptionType(type);

    // new QuantLib 0.3.5 framework: digitals, updated for 0.3.7
    // updated again for QuantLib 0.9.0, 
    // cf QuantLib-0.9.0/test-suite/digitaloption.cpp
    QuantLib::Date today = QuantLib::Date::todaysDate();
    QuantLib::Settings::instance().evaluationDate() = today;

    QuantLib::DayCounter dc = QuantLib::Actual360();
    boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
    boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
    boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today,qRate,dc);
    boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
    boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);
    boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
    boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);

    boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff;
    if (binType=="cash") {
        boost::shared_ptr<QuantLib::StrikedTypePayoff> con(new QuantLib::CashOrNothingPayoff(optionType, strike, cashPayoff));
        payoff = con;
    } else if (binType=="asset") {
        boost::shared_ptr<QuantLib::StrikedTypePayoff> aon(new QuantLib::AssetOrNothingPayoff(optionType, strike));
        payoff = aon;
    } else if (binType=="gap") {
        boost::shared_ptr<QuantLib::StrikedTypePayoff> gap(new QuantLib::GapPayoff(optionType, strike, cashPayoff));
        payoff = gap;
    } else {
        throw std::range_error("Unknown binary option type " + binType);
    }

#ifdef QL_HIGH_RESOLUTION_DATE
    QuantLib::Date exDate(today.dateTime() + length);
#else
    QuantLib::Date exDate = today + length;
#endif    
    boost::shared_ptr<QuantLib::Exercise> exercise;
    if (excType=="american") {
        boost::shared_ptr<QuantLib::Exercise> amEx(new QuantLib::AmericanExercise(today, exDate));
        exercise = amEx;
    } else if (excType=="european") {
        boost::shared_ptr<QuantLib::Exercise> euEx(new QuantLib::EuropeanExercise(exDate));
        exercise = euEx;
    } else {
        throw std::range_error("Unknown binary exercise type " + excType);
    }

    boost::shared_ptr<QuantLib::BlackScholesMertonProcess> 
        stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
                                                             QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));

    boost::shared_ptr<QuantLib::PricingEngine> engine;
    if (excType=="american") {
        boost::shared_ptr<QuantLib::PricingEngine> amEng(new QuantLib::AnalyticDigitalAmericanEngine(stochProcess));
        engine = amEng;
    } else if (excType=="european") {
        boost::shared_ptr<QuantLib::PricingEngine> euEng(new QuantLib::AnalyticEuropeanEngine(stochProcess));
        engine = euEng;
    } else {
        throw std::range_error("Unknown binary exercise type " + excType);
    }

    QuantLib::VanillaOption opt(payoff, exercise);
    opt.setPricingEngine(engine);

    Rcpp::List rl = Rcpp::List::create(Rcpp::Named("value") = opt.NPV(),
                                       Rcpp::Named("delta") = opt.delta(),
                                       Rcpp::Named("gamma") = opt.gamma(),
                                       Rcpp::Named("vega") = (excType=="european") ? opt.vega() : R_NaN,
                                       Rcpp::Named("theta") = (excType=="european") ? opt.theta() : R_NaN,
                                       Rcpp::Named("rho") = (excType=="european") ? opt.rho() : R_NaN,
                                       Rcpp::Named("divRho") = (excType=="european") ? opt.dividendRho() : R_NaN);
    return rl;
}
// [[Rcpp::export]]
Rcpp::List barrierOptionEngine(std::string barrType,
                               std::string type,
                               double underlying,
                               double strike,
                               double dividendYield, 
                               double riskFreeRate,
                               double maturity,
                               double volatility,
                               double barrier, 
                               double rebate) {

#ifdef QL_HIGH_RESOLUTION_DATE    
    // in minutes
    boost::posix_time::time_duration length = boost::posix_time::minutes(maturity * 360 * 24 * 60); 
#else
    int length = int(maturity*360 + 0.5); // FIXME: this could be better
#endif
        
    QuantLib::Barrier::Type barrierType = QuantLib::Barrier::DownIn;
    if (barrType=="downin") {
        barrierType = QuantLib::Barrier::DownIn;
    } else if (barrType=="upin") {
        barrierType = QuantLib::Barrier::UpIn;
    } else if (barrType=="downout") {
        barrierType = QuantLib::Barrier::DownOut;
    } else if (barrType=="upout") {
        barrierType = QuantLib::Barrier::UpOut;
    } else {
        throw std::range_error("Unknown barrier type " + type);
    }

    QuantLib::Option::Type optionType = getOptionType(type);

    // new QuantLib 0.3.5 framework, updated for 0.3.7
    // updated again for QuantLib 0.9.0, 
    // cf QuantLib-0.9.0/test-suite/barrieroption.cpp
    QuantLib::Date today = QuantLib::Date::todaysDate();
    QuantLib::Settings::instance().evaluationDate() = today;
    QuantLib::DayCounter dc = QuantLib::Actual360();
    boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
    boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
    boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
    boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
    boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);
    boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
    boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);

#ifdef QL_HIGH_RESOLUTION_DATE
    QuantLib::Date exDate(today.dateTime() + length);
#else
    QuantLib::Date exDate = today + length;
#endif    
    
    boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
        
    boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
    
    boost::shared_ptr<QuantLib::BlackScholesMertonProcess> 
        stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
                                                             QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));

    // Size timeSteps = 1;
    // bool antitheticVariate = false;
    // bool controlVariate = false;
    // Size requiredSamples = 10000;
    // double requiredTolerance = 0.02;
    // Size maxSamples = 1000000;
    // bool isBiased = false;

    boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::AnalyticBarrierEngine(stochProcess));

    // need to explicitly reference BarrierOption from QuantLib here
    QuantLib::BarrierOption barrierOption(barrierType,
                                          barrier,
                                          rebate,
                                          payoff,
                                          exercise);
    barrierOption.setPricingEngine(engine);

    Rcpp::List rl = Rcpp::List::create(Rcpp::Named("value") = barrierOption.NPV(),
                                       Rcpp::Named("delta") = R_NaReal,
                                       Rcpp::Named("gamma") = R_NaReal,
                                       Rcpp::Named("vega") = R_NaReal,
                                       Rcpp::Named("theta") = R_NaReal,
                                       Rcpp::Named("rho") = R_NaReal,
                                       Rcpp::Named("divRho") = R_NaReal);
    return rl;
}
Esempio n. 5
0
// [[Rcpp::export]]
Rcpp::List asianOptionEngine(std::string averageType,
                             std::string type,
                             double underlying,
                             double strike,
                             double dividendYield,
                             double riskFreeRate,
                             double maturity,
                             double volatility,
                             double first,
                             double length,
                             size_t fixings) {

    QuantLib::Option::Type optionType = getOptionType(type);

    //from test-suite/asionoptions.cpp
    QuantLib::DayCounter dc = QuantLib::Actual360();
    QuantLib::Date today = QuantLib::Date::todaysDate();
    QuantLib::Settings::instance().evaluationDate() = today;

    QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
    QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
    QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
    QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
    QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
    QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
    QuantLib::ext::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);

    QuantLib::ext::shared_ptr<QuantLib::BlackScholesMertonProcess>
        stochProcess(new
                     QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
                                                         QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
                                                         QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
                                                         QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));

    QuantLib::ext::shared_ptr<QuantLib::StrikedTypePayoff>
        payoff(new QuantLib::PlainVanillaPayoff(optionType,strike));

    Rcpp::List rl = R_NilValue;

    if (averageType=="geometric"){
        QuantLib::ext::shared_ptr<QuantLib::PricingEngine>
            engine(new
                   QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess));

#ifdef QL_HIGH_RESOLUTION_DATE
        // in minutes
        QuantLib::Date exDate(today.dateTime() + boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60)));
#else
        QuantLib::Date exDate = today + int(maturity * 360 + 0.5);
#endif
        boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
        QuantLib::ContinuousAveragingAsianOption option(QuantLib::Average::Geometric,
                                                        payoff, exercise);
        option.setPricingEngine(engine);

        rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
                                Rcpp::Named("delta") = option.delta(),
                                Rcpp::Named("gamma") = option.gamma(),
                                Rcpp::Named("vega") = option.vega(),
                                Rcpp::Named("theta") = option.theta(),
                                Rcpp::Named("rho") = option.rho(),
                                Rcpp::Named("divRho") = option.dividendRho());

    } else if (averageType=="arithmetic") {

        // TODO:  check fixings > 1, first, length
        if (first < 0) Rcpp::stop("Parameter 'first' must be non-negative.");
        if (length < 0) Rcpp::stop("Parameter 'length' must be non-negative.");
        if (fixings <= 1) Rcpp::stop("Parameter 'fixings' must be larger than one.");

        boost::shared_ptr<QuantLib::PricingEngine> engine =
            QuantLib::MakeMCDiscreteArithmeticAPEngine<QuantLib::LowDiscrepancy>(stochProcess)
            .withSamples(2047)
            .withControlVariate();

        //boost::shared_ptr<PricingEngine> engine =
        //    MakeMCDiscreteArithmeticASEngine<LowDiscrepancy>(stochProcess)
        //    .withSeed(3456789)
        //    .withSamples(1023);

        QuantLib::Time dt = length / (fixings - 1);

        std::vector<QuantLib::Time> timeIncrements(fixings);
        std::vector<QuantLib::Date> fixingDates(fixings);
        timeIncrements[0] = first;
        fixingDates[0] = today + QuantLib::Integer(timeIncrements[0] * 360 + 0.5);
        for (QuantLib::Size i=1; i<fixings; i++) {
            timeIncrements[i] = i*dt + first;
#ifdef QL_HIGH_RESOLUTION_DATE
            fixingDates[i]= QuantLib::Date(today.dateTime() + boost::posix_time::minutes(boost::uint64_t(timeIncrements[i] * 360 * 24 * 60)));
#else
            fixingDates[i] = today + QuantLib::Integer(timeIncrements[i]*360+0.5);
#endif
        }
        QuantLib::Real runningSum = 0.0;
        QuantLib::Size pastFixing = 0;

        boost::shared_ptr<QuantLib::Exercise>
            exercise(new QuantLib::EuropeanExercise(fixingDates[fixings-1]));

        QuantLib::DiscreteAveragingAsianOption option(QuantLib::Average::Arithmetic,
                                                      runningSum,
                                                      pastFixing,
                                                      fixingDates,
                                                      payoff,
                                                      exercise);
        option.setPricingEngine(engine);
        rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
                                Rcpp::Named("delta") = R_NaReal,
                                Rcpp::Named("gamma") = R_NaReal,
                                Rcpp::Named("vega") = R_NaReal,
                                Rcpp::Named("theta") = R_NaReal,
                                Rcpp::Named("rho") = R_NaReal,
                                Rcpp::Named("divRho") = R_NaReal);
    }
    return rl;
}
Esempio n. 6
0
// [[Rcpp::export]]
Rcpp::List europeanOptionEngine(std::string type,
                                double underlying,
                                double strike,
                                double dividendYield,
                                double riskFreeRate,
                                double maturity,
                                double volatility,
                                Rcpp::Nullable<Rcpp::NumericVector> discreteDividends,
                                Rcpp::Nullable<Rcpp::NumericVector> discreteDividendsTimeUntil) {

#ifdef QL_HIGH_RESOLUTION_DATE    
    // in minutes
    boost::posix_time::time_duration length = boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60)); 
#else
    int length           = int(maturity*360 + 0.5); // FIXME: this could be better
#endif
    
    QuantLib::Option::Type optionType = getOptionType(type);
    QuantLib::Date today = QuantLib::Date::todaysDate();
    QuantLib::Settings::instance().evaluationDate() = today;

    // new framework as per QuantLib 0.3.5
    QuantLib::DayCounter dc = QuantLib::Actual360();
    boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote( underlying ));
    boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote( volatility ));
    boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
    boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote( dividendYield ));
    boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
    boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote( riskFreeRate ));
    boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);

    bool withDividends = discreteDividends.isNotNull() && discreteDividendsTimeUntil.isNotNull();
    
#ifdef QL_HIGH_RESOLUTION_DATE
    QuantLib::Date exDate(today.dateTime() + length);
#else 
    QuantLib::Date exDate = today + length;
#endif

    boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
    boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
    
    if (withDividends) {
        Rcpp::NumericVector divvalues(discreteDividends), divtimes(discreteDividendsTimeUntil);
        int n = divvalues.size();
        std::vector<QuantLib::Date> discDivDates(n);
        std::vector<double> discDividends(n);
        for (int i = 0; i < n; i++) {
#ifdef QL_HIGH_RESOLUTION_DATE
            boost::posix_time::time_duration discreteDividendLength = boost::posix_time::minutes(boost::uint64_t(divtimes[i] * 360 * 24 * 60));
            discDivDates[i] = QuantLib::Date(today.dateTime() + discreteDividendLength);
#else
            discDivDates[i] = today + int(divtimes[i] * 360 + 0.5); 
#endif    
            discDividends[i] = divvalues[i];
        }
        
        boost::shared_ptr<QuantLib::BlackScholesMertonProcess> 
            stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
                                                                 QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
                                                                 QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
                                                                 QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
        
        boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::AnalyticDividendEuropeanEngine(stochProcess));
        
        QuantLib::DividendVanillaOption option(payoff, exercise, discDivDates, discDividends);
        option.setPricingEngine(engine);
        
        return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
                                  Rcpp::Named("delta") = option.delta(),
                                  Rcpp::Named("gamma") = option.gamma(),
                                  Rcpp::Named("vega") = option.vega(),
                                  Rcpp::Named("theta") = option.theta(),
                                  Rcpp::Named("rho") = option.rho(),
                                  Rcpp::Named("divRho") = R_NaReal);
    }
    else {
        
        boost::shared_ptr<QuantLib::VanillaOption> option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);
        
        return Rcpp::List::create(Rcpp::Named("value") = option->NPV(),
                                  Rcpp::Named("delta") = option->delta(),
                                  Rcpp::Named("gamma") = option->gamma(),
                                  Rcpp::Named("vega") = option->vega(),
                                  Rcpp::Named("theta") = option->theta(),
                                  Rcpp::Named("rho") = option->rho(),
                                  Rcpp::Named("divRho") = option->dividendRho());
    }
    
}
Esempio n. 7
0
// [[Rcpp::export]]
Rcpp::List americanOptionEngine(std::string type,
                                double underlying,
                                double strike,
                                double dividendYield,
                                double riskFreeRate,
                                double maturity,
                                double volatility,
                                int timeSteps,
                                int gridPoints,
                                std::string engine,
                                Rcpp::Nullable<Rcpp::NumericVector> discreteDividends,
                                Rcpp::Nullable<Rcpp::NumericVector> discreteDividendsTimeUntil) {

#ifdef QL_HIGH_RESOLUTION_DATE    
    // in minutes
    boost::posix_time::time_duration length = boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60)); 
#else
    int length = int(maturity * 360 + 0.5); // FIXME: this could be better
    
#endif
    QuantLib::Option::Type optionType = getOptionType(type);

    // new framework as per QuantLib 0.3.5, updated for 0.3.7
    // updated again for 0.9.0, see eg test-suite/americanoption.cpp
    QuantLib::Date today = QuantLib::Date::todaysDate();
    QuantLib::Settings::instance().evaluationDate() = today;
    QuantLib::DayCounter dc = QuantLib::Actual360();
    boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
    boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
    boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today,qRate,dc);
    boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
    boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);
    boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
    boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
    
    bool withDividends = discreteDividends.isNotNull() && discreteDividendsTimeUntil.isNotNull();
    
#ifdef QL_HIGH_RESOLUTION_DATE
    QuantLib::Date exDate(today.dateTime() + length);
#else 
    QuantLib::Date exDate = today + length;
#endif

    boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
    boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::AmericanExercise(today, exDate));

    boost::shared_ptr<QuantLib::BlackScholesMertonProcess> 
        stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
                                                             QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
                                                             QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
    
    if (withDividends) {
        Rcpp::NumericVector divvalues(discreteDividends), divtimes(discreteDividendsTimeUntil);
        int n = divvalues.size();
        std::vector<QuantLib::Date> discDivDates(n);
        std::vector<double> discDividends(n);
        for (int i = 0; i < n; i++) {
#ifdef QL_HIGH_RESOLUTION_DATE
            boost::posix_time::time_duration discreteDividendLength = boost::posix_time::minutes(boost::uint64_t(divtimes[i] * 360 * 24 * 60));
            discDivDates[i] = QuantLib::Date(today.dateTime() + discreteDividendLength);
#else
            discDivDates[i] = today + int(divtimes[i] * 360 + 0.5); 
#endif    
            discDividends[i] = divvalues[i];
        }

        QuantLib::DividendVanillaOption option(payoff, exercise, discDivDates, discDividends);
        if (engine=="BaroneAdesiWhaley") { 
            Rcpp::warning("Discrete dividends, engine switched to CrankNicolson");
            engine = "CrankNicolson";
        }
       
        if (engine=="CrankNicolson") { // FDDividendAmericanEngine only works with CrankNicolson
            // suggestion by Bryan Lewis: use CrankNicolson for greeks
            boost::shared_ptr<QuantLib::PricingEngine> 
            fdcnengine(new QuantLib::FDDividendAmericanEngine<QuantLib::CrankNicolson>(stochProcess, timeSteps, gridPoints));
            option.setPricingEngine(fdcnengine);
            return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
                                      Rcpp::Named("delta") = option.delta(),
                                      Rcpp::Named("gamma") = option.gamma(),
                                      Rcpp::Named("vega") = R_NaReal,
                                      Rcpp::Named("theta") = R_NaReal,
                                      Rcpp::Named("rho") = R_NaReal,
                                      Rcpp::Named("divRho") = R_NaReal);
        } else {
            throw std::range_error("Unknown engine " + engine);
        }
        
    } else {
        QuantLib::VanillaOption option(payoff, exercise);
        
        if (engine=="BaroneAdesiWhaley") {
            // new from 0.3.7 BaroneAdesiWhaley
            
            boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::BaroneAdesiWhaleyApproximationEngine(stochProcess));
            option.setPricingEngine(engine);
            return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
                                      Rcpp::Named("delta") = R_NaReal,
                                      Rcpp::Named("gamma") = R_NaReal,
                                      Rcpp::Named("vega") = R_NaReal,
                                      Rcpp::Named("theta") = R_NaReal,
                                      Rcpp::Named("rho") = R_NaReal,
                                      Rcpp::Named("divRho") = R_NaReal);
        } else if (engine=="CrankNicolson") {
            // suggestion by Bryan Lewis: use CrankNicolson for greeks
            boost::shared_ptr<QuantLib::PricingEngine> 
            fdcnengine(new QuantLib::FDAmericanEngine<QuantLib::CrankNicolson>(stochProcess, timeSteps, gridPoints));
            option.setPricingEngine(fdcnengine);
            return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
                                      Rcpp::Named("delta") = option.delta(),
                                      Rcpp::Named("gamma") = option.gamma(),
                                      Rcpp::Named("vega") = R_NaReal,
                                      Rcpp::Named("theta") = R_NaReal,
                                      Rcpp::Named("rho") = R_NaReal,
                                      Rcpp::Named("divRho") = R_NaReal);
        } else {
            throw std::range_error("Unknown engine " + engine);
        }
    }
    
    
}