Real HestonModelHelper::blackPrice(Real volatility) const {
calculate();
const Real stdDev = volatility * std::sqrt(maturity());
return blackFormula(
type_, strikePrice_ * termStructure_->discount(tau_),
s0_->value() * dividendYield_->discount(tau_), stdDev);
}
RcppExport SEXP cfamounts(SEXP params){
SEXP rl=R_NilValue;
char* exceptionMesg=NULL;
try{
RcppParams rparam(params);
QuantLib::Date maturity(dateFromR(rparam.getDateValue("Maturity")));
QuantLib::Date settle(dateFromR(rparam.getDateValue("Settle")));
QuantLib::Date issue(dateFromR(rparam.getDateValue("IssueDate")));
double rate = rparam.getDoubleValue("CouponRate");
std::vector<double> rateVec(1, rate);
double faceAmount = rparam.getDoubleValue("Face");
double period = rparam.getDoubleValue("Period");
double basis = rparam.getDoubleValue("Basis");
DayCounter dayCounter = getDayCounter(basis);
Frequency freq = getFrequency(period);
Period p(freq);
double EMR = rparam.getDoubleValue("EMR");
Calendar calendar=UnitedStates(UnitedStates::GovernmentBond);
Schedule sch(settle, maturity, p, calendar,
Unadjusted, Unadjusted, DateGeneration::Backward,
(EMR == 1)? true : false);
FixedRateBond bond(1, faceAmount, sch, rateVec, dayCounter, Following,
100, issue);
//cashflow
int numCol = 2;
std::vector<std::string> colNames(numCol);
colNames[0] = "Date";
colNames[1] = "Amount";
RcppFrame frame(colNames);
Leg bondCashFlow = bond.cashflows();
for (unsigned int i = 0; i< bondCashFlow.size(); i++){
std::vector<ColDatum> row(numCol);
Date d = bondCashFlow[i]->date();
row[0].setDateValue(RcppDate(d.month(), d.dayOfMonth(), d.year()));
row[1].setDoubleValue(bondCashFlow[i]->amount());
frame.addRow(row);
}
RcppResultSet rs;
rs.add("cashFlow", frame);
rl = rs.getReturnList();
} catch(std::exception& ex) {
exceptionMesg = copyMessageToR(ex.what());
} catch(...) {
exceptionMesg = copyMessageToR("unknown reason");
}
if(exceptionMesg != NULL)
Rf_error(exceptionMesg);
return rl;
}
// [[Rcpp::export]]
Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,
Rcpp::List legparams,
std::vector<QuantLib::Date> dateVec,
std::vector<double> zeroVec,
Rcpp::NumericVector swaptionMat,
Rcpp::NumericVector swapLengths,
Rcpp::NumericVector swaptionVols) {
// std::vector<std::string> tsnames = tslist.names();
QuantLib::Size i;
//int *swaptionMat=0, *swapLengths=0;
//double **swaptionVols=0;
double notional = 10000; // prices in basis points
QuantLib::Date todaysDate(Rcpp::as<QuantLib::Date>(rparam["tradeDate"]));
QuantLib::Date settlementDate(Rcpp::as<QuantLib::Date>(rparam["settleDate"]));
QuantLib::Date startDate(Rcpp::as<QuantLib::Date>(rparam["startDate"]));
QuantLib::Date maturity(Rcpp::as<QuantLib::Date>(rparam["maturity"]));
bool payfix = Rcpp::as<bool>(rparam["payFixed"]);
bool european = Rcpp::as<bool>(rparam["european"]);
//cout << "TradeDate: " << todaysDate << endl << "Settle: " << settlementDate << endl;
RQLContext::instance().settleDate = settlementDate;
QuantLib::Settings::instance().evaluationDate() = todaysDate;
// initialise from the singleton instance
QuantLib::Calendar calendar = RQLContext::instance().calendar;
//Integer fixingDays = RQLContext::instance().fixingDays;
double strike = Rcpp::as<double>(rparam["strike"]);
std::string method = Rcpp::as<std::string>(rparam["method"]);
QuantLib::Handle<QuantLib::YieldTermStructure>
rhTermStructure(rebuildCurveFromZeroRates(dateVec, zeroVec));
// Get swaption maturities
//Rcpp::NumericVector swaptionMat(maturities);
int numRows = swaptionMat.size();
// Create dummy swap to get schedules.
QuantLib::Frequency fixedLegFrequency = getFrequency(Rcpp::as<double>(legparams["fixFreq"]));
QuantLib::BusinessDayConvention fixedLegConvention = QuantLib::Unadjusted;
QuantLib::BusinessDayConvention floatingLegConvention = QuantLib::ModifiedFollowing;
QuantLib::DayCounter swFixedLegDayCounter = getDayCounter(Rcpp::as<double>(legparams["dayCounter"]));
boost::shared_ptr<QuantLib::IborIndex> swFloatingLegIndex(new QuantLib::Euribor(QuantLib::Period(Rcpp::as<int>(legparams["floatFreq"]),QuantLib::Months),rhTermStructure));
QuantLib::Rate dummyFixedRate = 0.03;
QuantLib::Schedule fixedSchedule(startDate,maturity,
QuantLib::Period(fixedLegFrequency),calendar,
fixedLegConvention,fixedLegConvention,
QuantLib::DateGeneration::Forward,false);
QuantLib::Schedule floatSchedule(startDate,maturity,QuantLib::Period(Rcpp::as<int>(legparams["floatFreq"]),QuantLib::Months),
calendar,
floatingLegConvention,floatingLegConvention,
QuantLib::DateGeneration::Forward,false);
QuantLib::VanillaSwap::Type type;
if(payfix){
type = QuantLib::VanillaSwap::Payer;}
else{
type = QuantLib::VanillaSwap::Receiver;
}
boost::shared_ptr<QuantLib::VanillaSwap>
swap(new QuantLib::VanillaSwap(type, notional,
fixedSchedule, dummyFixedRate, swFixedLegDayCounter,
floatSchedule, swFloatingLegIndex, 0.0,
swFloatingLegIndex->dayCounter()));
swap->setPricingEngine(boost::shared_ptr<QuantLib::PricingEngine>(new QuantLib::DiscountingSwapEngine(rhTermStructure)));
// Find the ATM or break-even rate
QuantLib::Rate fixedATMRate = swap->fairRate();
QuantLib::Rate fixedRate;
if(strike < 0) // factor instead of real strike
fixedRate = fixedATMRate * (-strike);
else
fixedRate = strike;
// The swap underlying the Affine swaption.
boost::shared_ptr<QuantLib::VanillaSwap>
mySwap(new QuantLib::VanillaSwap(type, notional,
fixedSchedule, fixedRate,swFixedLegDayCounter,
floatSchedule, swFloatingLegIndex, 0.0,
swFloatingLegIndex->dayCounter()));
swap->setPricingEngine(boost::shared_ptr<QuantLib::PricingEngine>(new QuantLib::DiscountingSwapEngine(rhTermStructure)));
// Build swaptions that will be used to calibrate model to
// the volatility matrix.
std::vector<QuantLib::Period> swaptionMaturities;
for(i = 0; i < (QuantLib::Size)numRows; i++)
swaptionMaturities.push_back(QuantLib::Period(swaptionMat[i], QuantLib::Years));
// Swaptions used for calibration
std::vector<boost::shared_ptr<QuantLib::BlackCalibrationHelper> > swaptions;
// List of times that have to be included in the timegrid
std::list<QuantLib::Time> times;
for (i=0; i<(QuantLib::Size)numRows; i++) {
//boost::shared_ptr<QuantLib::Quote> vol(new QuantLib::SimpleQuote(swaptionVols[i][numCols-i-1]));
boost::shared_ptr<QuantLib::Quote> vol(new QuantLib::SimpleQuote(swaptionVols(i)));
swaptions.push_back(boost::shared_ptr<QuantLib::BlackCalibrationHelper>(new QuantLib::SwaptionHelper(swaptionMaturities[i],
QuantLib::Period(swapLengths[i], QuantLib::Years),
QuantLib::Handle<QuantLib::Quote>(vol),
swFloatingLegIndex,
swFloatingLegIndex->tenor(),
swFloatingLegIndex->dayCounter(),
swFloatingLegIndex->dayCounter(),
rhTermStructure)));
swaptions.back()->addTimesTo(times);
}
// Building time-grid
QuantLib::TimeGrid grid(times.begin(), times.end(), 30);
// Get Affine swaption exercise dates, single date if europen, coupon dates if bermudan
std::vector<QuantLib::Date> affineDates;
const std::vector<boost::shared_ptr<QuantLib::CashFlow> >& leg = swap->fixedLeg();
if(european){
boost::shared_ptr<QuantLib::Coupon> coupon = boost::dynamic_pointer_cast<QuantLib::Coupon>(leg[0]);
affineDates.push_back(coupon->accrualStartDate());
} else{
for (i=0; i<leg.size(); i++) {
boost::shared_ptr<QuantLib::Coupon> coupon = boost::dynamic_pointer_cast<QuantLib::Coupon>(leg[i]);
affineDates.push_back(coupon->accrualStartDate());
}
}
boost::shared_ptr<QuantLib::Exercise> affineExercise(new QuantLib::BermudanExercise(affineDates));
// Price based on method selected.
if (method.compare("G2Analytic") == 0) {
boost::shared_ptr<QuantLib::G2> modelG2(new QuantLib::G2(rhTermStructure));
Rprintf((char*)"G2/Jamshidian (analytic) calibration\n");
for(i = 0; i < swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<QuantLib::PricingEngine>(new QuantLib::G2SwaptionEngine(modelG2, 6.0, 16)));
calibrateModel2(modelG2, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelG2, 50));
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelG2->params()[0],
Rcpp::Named("sigma") = modelG2->params()[1],
Rcpp::Named("b") = modelG2->params()[2],
Rcpp::Named("eta") = modelG2->params()[3],
Rcpp::Named("rho") = modelG2->params()[4],
Rcpp::Named("NPV") = affineSwaption.NPV(),
Rcpp::Named("ATMStrike") = fixedATMRate);
//Rcpp::Named("params") = params);
} else if (method.compare("HWAnalytic") == 0) {
boost::shared_ptr<QuantLib::HullWhite> modelHW(new QuantLib::HullWhite(rhTermStructure));
Rprintf((char*)"Hull-White (analytic) calibration\n");
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<QuantLib::PricingEngine>(new QuantLib::JamshidianSwaptionEngine(modelHW)));
calibrateModel2(modelHW, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelHW, 50));
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelHW->params()[0],
Rcpp::Named("sigma") = modelHW->params()[1],
Rcpp::Named("NPV") = affineSwaption.NPV(),
Rcpp::Named("ATMStrike") = fixedATMRate);
//Rcpp::Named("params") = params);
} else if (method.compare("HWTree") == 0) {
boost::shared_ptr<QuantLib::HullWhite> modelHW2(new QuantLib::HullWhite(rhTermStructure));
Rprintf((char*)"Hull-White (tree) calibration\n");
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<QuantLib::PricingEngine>(new QuantLib::TreeSwaptionEngine(modelHW2,grid)));
calibrateModel2(modelHW2, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelHW2, 50));
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelHW2->params()[0],
Rcpp::Named("sigma") = modelHW2->params()[1],
Rcpp::Named("NPV") = affineSwaption.NPV(),
Rcpp::Named("ATMStrike") = fixedATMRate);
//Rcpp::Named("params") = params);
} else if (method.compare("BKTree") == 0) {
boost::shared_ptr<QuantLib::BlackKarasinski> modelBK(new QuantLib::BlackKarasinski(rhTermStructure));
Rprintf((char*)"Black-Karasinski (tree) calibration\n");
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<QuantLib::PricingEngine>(new QuantLib::TreeSwaptionEngine(modelBK,grid)));
calibrateModel2(modelBK, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelBK, 50));
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelBK->params()[0],
Rcpp::Named("sigma") = modelBK->params()[1],
Rcpp::Named("price") = affineSwaption.NPV(),
Rcpp::Named("ATMStrike") = fixedATMRate);
//Rcpp::Named("params") = params);
} else {
throw std::range_error("Unknown method in AffineSwaption\n");
}
}
int TestFromQuantLib() {
try {
boost::timer timer;
std::cout << std::endl;
// set up dates
Calendar calendar = TARGET();
Date todaysDate(15, May, 1998);
Date settlementDate(17, May, 1998);
Settings::instance().evaluationDate() = todaysDate;
// our options
Option::Type type(Option::Put);
Real underlying = 36;
Real strike = 40;
Spread dividendYield = 0.00;
Rate riskFreeRate = 0.06;
Volatility volatility = 0.20;
Date maturity(17, May, 1999);
DayCounter dayCounter = Actual365Fixed();
std::cout << "Option type = " << type << std::endl;
std::cout << "Maturity = " << maturity << std::endl;
std::cout << "Underlying price = " << underlying << std::endl;
std::cout << "Strike = " << strike << std::endl;
std::cout << "Risk-free interest rate = " << io::rate(riskFreeRate)
<< std::endl;
std::cout << "Dividend yield = " << io::rate(dividendYield)
<< std::endl;
std::cout << "Volatility = " << io::volatility(volatility)
<< std::endl;
std::cout << std::endl;
std::string method;
std::cout << std::endl;
// write column headings
Size widths[] = { 35, 14, 14, 14 };
std::cout << std::setw(widths[0]) << std::left << "Method"
<< std::setw(widths[1]) << std::left << "European"
<< std::setw(widths[2]) << std::left << "Bermudan"
<< std::setw(widths[3]) << std::left << "American"
<< std::endl;
std::vector<Date> exerciseDates;
for (Integer i = 1; i <= 4; i++)
exerciseDates.push_back(settlementDate + 3 * i*Months);
boost::shared_ptr<Exercise> europeanExercise(
new EuropeanExercise(maturity));
boost::shared_ptr<Exercise> bermudanExercise(
new BermudanExercise(exerciseDates));
boost::shared_ptr<Exercise> americanExercise(
new AmericanExercise(settlementDate,
maturity));
Handle<Quote> underlyingH(
boost::shared_ptr<Quote>(new SimpleQuote(underlying)));
// bootstrap the yield/dividend/vol curves
Handle<YieldTermStructure> flatTermStructure(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate, riskFreeRate, dayCounter)));
Handle<YieldTermStructure> flatDividendTS(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate, dividendYield, dayCounter)));
Handle<BlackVolTermStructure> flatVolTS(
boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(settlementDate, calendar, volatility,
dayCounter)));
boost::shared_ptr<StrikedTypePayoff> payoff(
new PlainVanillaPayoff(type, strike));
boost::shared_ptr<BlackScholesMertonProcess> bsmProcess(
new BlackScholesMertonProcess(underlyingH, flatDividendTS,
flatTermStructure, flatVolTS));
// options
VanillaOption europeanOption(payoff, europeanExercise);
VanillaOption bermudanOption(payoff, bermudanExercise);
VanillaOption americanOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new AnalyticEuropeanEngine(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
// semi-analytic Heston for European
method = "Heston semi-analytic";
boost::shared_ptr<HestonProcess> hestonProcess(
new HestonProcess(flatTermStructure, flatDividendTS,
underlyingH, volatility*volatility,
1.0, volatility*volatility, 0.001, 0.0));
boost::shared_ptr<HestonModel> hestonModel(
new HestonModel(hestonProcess));
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new AnalyticHestonEngine(hestonModel)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
// semi-analytic Bates for European
method = "Bates semi-analytic";
boost::shared_ptr<BatesProcess> batesProcess(
new BatesProcess(flatTermStructure, flatDividendTS,
underlyingH, volatility*volatility,
1.0, volatility*volatility, 0.001, 0.0,
1e-14, 1e-14, 1e-14));
boost::shared_ptr<BatesModel> batesModel(new BatesModel(batesProcess));
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BatesEngine(batesModel)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
// Barone-Adesi and Whaley approximation for American
method = "Barone-Adesi/Whaley";
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BaroneAdesiWhaleyApproximationEngine(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << "N/A"
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Bjerksund and Stensland approximation for American
method = "Bjerksund/Stensland";
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BjerksundStenslandApproximationEngine(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << "N/A"
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Integral
method = "Integral";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new IntegralEngine(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
// Finite differences
Size timeSteps = 801;
method = "Finite differences";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FDEuropeanEngine<CrankNicolson>(bsmProcess,
timeSteps, timeSteps - 1)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FDBermudanEngine<CrankNicolson>(bsmProcess,
timeSteps, timeSteps - 1)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FDAmericanEngine<CrankNicolson>(bsmProcess,
timeSteps, timeSteps - 1)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Binomial method: Jarrow-Rudd
method = "Binomial Jarrow-Rudd";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
method = "Binomial Cox-Ross-Rubinstein";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess,
timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess,
timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Binomial method: Additive equiprobabilities
method = "Additive equiprobabilities";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess,
timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess,
timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Binomial method: Binomial Trigeorgis
method = "Binomial Trigeorgis";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Binomial method: Binomial Tian
method = "Binomial Tian";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Binomial method: Binomial Leisen-Reimer
method = "Binomial Leisen-Reimer";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Binomial method: Binomial Joshi
method = "Binomial Joshi";
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// Monte Carlo Method: MC (crude)
timeSteps = 1;
method = "MC (crude)";
Size mcSeed = 42;
boost::shared_ptr<PricingEngine> mcengine1;
mcengine1 = MakeMCEuropeanEngine<PseudoRandom>(bsmProcess)
.withSteps(timeSteps)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed);
europeanOption.setPricingEngine(mcengine1);
// Real errorEstimate = europeanOption.errorEstimate();
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
// Monte Carlo Method: QMC (Sobol)
method = "QMC (Sobol)";
Size nSamples = 32768; // 2^15
boost::shared_ptr<PricingEngine> mcengine2;
mcengine2 = MakeMCEuropeanEngine<LowDiscrepancy>(bsmProcess)
.withSteps(timeSteps)
.withSamples(nSamples);
europeanOption.setPricingEngine(mcengine2);
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << "N/A"
<< std::endl;
// Monte Carlo Method: MC (Longstaff Schwartz)
method = "MC (Longstaff Schwartz)";
boost::shared_ptr<PricingEngine> mcengine3;
mcengine3 = MakeMCAmericanEngine<PseudoRandom>(bsmProcess)
.withSteps(100)
.withAntitheticVariate()
.withCalibrationSamples(4096)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed);
americanOption.setPricingEngine(mcengine3);
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << "N/A"
<< std::setw(widths[2]) << std::left << "N/A"
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
// End test
double seconds = timer.elapsed();
Integer hours = int(seconds / 3600);
seconds -= hours * 3600;
Integer minutes = int(seconds / 60);
seconds -= minutes * 60;
std::cout << " \nRun completed in ";
if (hours > 0)
std::cout << hours << " h ";
if (hours > 0 || minutes > 0)
std::cout << minutes << " m ";
std::cout << std::fixed << std::setprecision(0)
<< seconds << " s\n" << std::endl;
return 0;
}
catch (std::exception& e) {
std::cerr << e.what() << std::endl;
return 1;
}
catch (...) {
std::cerr << "unknown error" << std::endl;
return 1;
}
}
