boost::shared_ptr<FdmStepConditionComposite> 
    FdmStepConditionComposite::vanillaComposite(
                 const DividendSchedule& cashFlow,
                 const boost::shared_ptr<Exercise>& exercise,
                 const boost::shared_ptr<FdmMesher>& mesher,
                 const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
                 const Date& refDate,
                 const DayCounter& dayCounter) {
        
        std::list<std::vector<Time> > stoppingTimes;
        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;

        if(!cashFlow.empty()) {
            boost::shared_ptr<FdmDividendHandler> dividendCondition(
                new FdmDividendHandler(cashFlow, mesher,
                                       refDate, dayCounter, 0));
            stepConditions.push_back(dividendCondition);
            stoppingTimes.push_back(dividendCondition->dividendTimes());
        }

        QL_REQUIRE(   exercise->type() == Exercise::American
                   || exercise->type() == Exercise::European
                   || exercise->type() == Exercise::Bermudan,
                   "exercise type is not supported");
        if (exercise->type() == Exercise::American) {
            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
                          new FdmAmericanStepCondition(mesher,calculator)));
        }
        else if (exercise->type() == Exercise::Bermudan) {
            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
                new FdmBermudanStepCondition(exercise->dates(),
                                             refDate, dayCounter,
                                             mesher, calculator));
            stepConditions.push_back(bermudanCondition);
            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
        }
        
        return boost::shared_ptr<FdmStepConditionComposite>(
            new FdmStepConditionComposite(stoppingTimes, stepConditions));

    }
    void FdBlackScholesRebateEngine::calculate() const {

        // 1. Layout
        std::vector<Size> dim;
        dim.push_back(xGrid_);
        const boost::shared_ptr<FdmLinearOpLayout> layout(
                                              new FdmLinearOpLayout(dim));

        // 2. Mesher
        const boost::shared_ptr<StrikedTypePayoff> payoff =
            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
        const Time maturity = process_->time(arguments_.exercise->lastDate());

        Real xMin=Null<Real>();
        Real xMax=Null<Real>();
        if (   arguments_.barrierType == Barrier::DownIn
            || arguments_.barrierType == Barrier::DownOut) {
            xMin = std::log(arguments_.barrier);
        }
        if (   arguments_.barrierType == Barrier::UpIn
            || arguments_.barrierType == Barrier::UpOut) {
            xMax = std::log(arguments_.barrier);
        }

        const boost::shared_ptr<Fdm1dMesher> equityMesher(
            new FdmBlackScholesMesher(xGrid_, process_, maturity,
                                      payoff->strike(), xMin, xMax));
        
        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
        meshers.push_back(equityMesher);
        boost::shared_ptr<FdmMesher> mesher (
                                     new FdmMesherComposite(layout, meshers));
        
        // 3. Calculator
        boost::shared_ptr<StrikedTypePayoff> rebatePayoff(
                new CashOrNothingPayoff(Option::Call, 0.0, arguments_.rebate));
        boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                new FdmLogInnerValue(rebatePayoff, mesher, 0));

        // 4. Step conditions
        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
        std::list<std::vector<Time> > stoppingTimes;

        // 4.1 Step condition if discrete dividends
        boost::shared_ptr<FdmDividendHandler> dividendCondition(
            new FdmDividendHandler(arguments_.cashFlow, mesher,
                                   process_->riskFreeRate()->referenceDate(),
                                   process_->riskFreeRate()->dayCounter(), 0));

        if(!arguments_.cashFlow.empty()) {
            stepConditions.push_back(dividendCondition);
            stoppingTimes.push_back(dividendCondition->dividendTimes());
        }

        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                   "only european style option are supported");

        boost::shared_ptr<FdmStepConditionComposite> conditions(
                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 5. Boundary conditions
        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
        if (   arguments_.barrierType == Barrier::DownIn
            || arguments_.barrierType == Barrier::DownOut) {
            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
                                         FdmDirichletBoundary::Lower)));

        }
        if (   arguments_.barrierType == Barrier::UpIn
            || arguments_.barrierType == Barrier::UpOut) {
            boundaries.push_back(boost::shared_ptr<FdmDirichletBoundary>(
                new FdmDirichletBoundary(layout, arguments_.rebate, 0,
                                         FdmDirichletBoundary::Upper)));
        }

        // 6. Solver
        boost::shared_ptr<FdmBlackScholesSolver> solver(
                new FdmBlackScholesSolver(
                                Handle<GeneralizedBlackScholesProcess>(process_),
                                mesher, boundaries, conditions, calculator,
                                payoff->strike(), maturity, tGrid_,
                                dampingSteps_,
                                theta_, localVol_, illegalLocalVolOverwrite_));

        const Real spot = process_->x0();
        results_.value = solver->valueAt(spot);
        results_.delta = solver->deltaAt(spot);
        results_.gamma = solver->gammaAt(spot);
        results_.theta = solver->thetaAt(spot);
    }
    void FdBlackScholesVanillaEngine::calculate() const {

        // 1. Layout
        std::vector<Size> dim;
        dim.push_back(xGrid_);
        const boost::shared_ptr<FdmLinearOpLayout> layout(
                                              new FdmLinearOpLayout(dim));

        const boost::shared_ptr<StrikedTypePayoff> payoff =
            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        // 2. Mesher
        const Time maturity = process_->time(arguments_.exercise->lastDate());
        const boost::shared_ptr<Fdm1dMesher> equityMesher(
            new FdmBlackScholesMesher(
                    xGrid_, process_, maturity, payoff->strike(), 
                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                    std::pair<Real, Real>(payoff->strike(), 0.1)));
        
        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
        meshers.push_back(equityMesher);
        boost::shared_ptr<FdmMesher> mesher (
                                     new FdmMesherComposite(layout, meshers));
        

        // 3. Calculator
        boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                      new FdmLogInnerValue(payoff, mesher, 0));

        // 4. Step conditions
        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
        std::list<std::vector<Time> > stoppingTimes;

        // 4.1 Step condition if discrete dividends
        if(!arguments_.cashFlow.empty()) {
            boost::shared_ptr<FdmDividendHandler> dividendCondition(
                new FdmDividendHandler(arguments_.cashFlow, mesher,
                                       process_->riskFreeRate()->referenceDate(),
                                       process_->riskFreeRate()->dayCounter(),
                                       0));
            stepConditions.push_back(dividendCondition);
            stoppingTimes.push_back(dividendCondition->dividendTimes());
        }

        // 4.2 Step condition if american or bermudan exercise
        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
                   || arguments_.exercise->type() == Exercise::European
                   || arguments_.exercise->type() == Exercise::Bermudan,
                   "exercise type is not supported");
        if (arguments_.exercise->type() == Exercise::American) {
            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
                            new FdmAmericanStepCondition(mesher,calculator)));
        }
        else if (arguments_.exercise->type() == Exercise::Bermudan) {
            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
                new FdmBermudanStepCondition(
                                    arguments_.exercise->dates(),
                                    process_->riskFreeRate()->referenceDate(),
                                    process_->riskFreeRate()->dayCounter(),
                                    mesher, calculator));
            stepConditions.push_back(bermudanCondition);
            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
        }

        boost::shared_ptr<FdmStepConditionComposite> conditions(
                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 5. Boundary conditions
        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;

        // 6. Solver
        boost::shared_ptr<FdmBlackScholesSolver> solver(
                new FdmBlackScholesSolver(
                             Handle<GeneralizedBlackScholesProcess>(process_),
                             mesher, boundaries, conditions, calculator,
                             payoff->strike(), maturity, tGrid_, 
                             dampingSteps_, schemeDesc_, 
                             localVol_, illegalLocalVolOverwrite_));

        const Real spot = process_->x0();
        results_.value = solver->valueAt(spot);
        results_.delta = solver->deltaAt(spot);
        results_.gamma = solver->gammaAt(spot);
        results_.theta = solver->thetaAt(spot);
    }
示例#4
0
    void FdHestonBarrierEngine::calculate() const {

        // 1. Mesher
        const boost::shared_ptr<HestonProcess>& process = model_->process();
        const Time maturity = process->time(arguments_.exercise->lastDate());

        // 1.1 The variance mesher
        const Size tGridMin = 5;
        const boost::shared_ptr<FdmHestonVarianceMesher> varianceMesher(
            new FdmHestonVarianceMesher(vGrid_, process, maturity,
                                        std::max(tGridMin, tGrid_/50)));

        // 1.2 The equity mesher
        const boost::shared_ptr<StrikedTypePayoff> payoff =
            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        Real xMin=Null<Real>();
        Real xMax=Null<Real>();
        if (   arguments_.barrierType == Barrier::DownIn
            || arguments_.barrierType == Barrier::DownOut) {
            xMin = std::log(arguments_.barrier);
        }
        if (   arguments_.barrierType == Barrier::UpIn
            || arguments_.barrierType == Barrier::UpOut) {
            xMax = std::log(arguments_.barrier);
        }

        const boost::shared_ptr<Fdm1dMesher> equityMesher(
            new FdmBlackScholesMesher(
                xGrid_,
                FdmBlackScholesMesher::processHelper(
                    process->s0(), process->dividendYield(), 
                    process->riskFreeRate(), varianceMesher->volaEstimate()),
                maturity, payoff->strike(), xMin, xMax));
        
        const boost::shared_ptr<FdmMesher> mesher (
            new FdmMesherComposite(equityMesher, varianceMesher));

        // 2. Calculator
        boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                new FdmLogInnerValue(payoff, mesher, 0));

        // 3. Step conditions
        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
        std::list<std::vector<Time> > stoppingTimes;

        // 3.1 Step condition if discrete dividends
        boost::shared_ptr<FdmDividendHandler> dividendCondition(
            new FdmDividendHandler(arguments_.cashFlow, mesher,
                                   process->riskFreeRate()->referenceDate(),
                                   process->riskFreeRate()->dayCounter(), 0));

        if(!arguments_.cashFlow.empty()) {
            stepConditions.push_back(dividendCondition);
            stoppingTimes.push_back(dividendCondition->dividendTimes());
        }

        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                   "only european style option are supported");

        boost::shared_ptr<FdmStepConditionComposite> conditions(
                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 4. Boundary conditions
        FdmBoundaryConditionSet boundaries;
        if (   arguments_.barrierType == Barrier::DownIn
            || arguments_.barrierType == Barrier::DownOut) {
            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                         FdmDirichletBoundary::Lower)));

        }
        if (   arguments_.barrierType == Barrier::UpIn
            || arguments_.barrierType == Barrier::UpOut) {
            boundaries.push_back(FdmBoundaryConditionSet::value_type(
                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,
                                         FdmDirichletBoundary::Upper)));
        }

        // 5. Solver
        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                     calculator, maturity,
                                     tGrid_, dampingSteps_ };

        boost::shared_ptr<FdmHestonSolver> solver(new FdmHestonSolver(
                    Handle<HestonProcess>(process), solverDesc, schemeDesc_,
                    Handle<FdmQuantoHelper>(), leverageFct_));

        const Real spot = process->s0()->value();
        results_.value = solver->valueAt(spot, process->v0());
        results_.delta = solver->deltaAt(spot, process->v0());
        results_.gamma = solver->gammaAt(spot, process->v0());
        results_.theta = solver->thetaAt(spot, process->v0());

        // 6. Calculate vanilla option and rebate for in-barriers
        if (   arguments_.barrierType == Barrier::DownIn
            || arguments_.barrierType == Barrier::UpIn) {
            // Cast the payoff
            boost::shared_ptr<StrikedTypePayoff> payoff =
                    boost::dynamic_pointer_cast<StrikedTypePayoff>(
                                                            arguments_.payoff);
            // Calculate the vanilla option
            boost::shared_ptr<DividendVanillaOption> vanillaOption(
                new DividendVanillaOption(payoff,arguments_.exercise,
                                          dividendCondition->dividendDates(), 
                                          dividendCondition->dividends()));
            vanillaOption->setPricingEngine(boost::shared_ptr<PricingEngine>(
                    new FdHestonVanillaEngine(*model_, tGrid_, xGrid_, 
                                              vGrid_, dampingSteps_,
                                              schemeDesc_)));
            // Calculate the rebate value
            boost::shared_ptr<DividendBarrierOption> rebateOption(
                new DividendBarrierOption(arguments_.barrierType,
                                          arguments_.barrier,
                                          arguments_.rebate,
                                          payoff, arguments_.exercise,
                                          dividendCondition->dividendDates(), 
                                          dividendCondition->dividends()));
            const Size xGridMin = 20;
            const Size vGridMin = 10;
            const Size rebateDampingSteps 
                = (dampingSteps_ > 0) ? std::min(Size(1), dampingSteps_/2) : 0; 
            rebateOption->setPricingEngine(boost::shared_ptr<PricingEngine>(
                    new FdHestonRebateEngine(*model_, tGrid_, 
                                             std::max(xGridMin, xGrid_/4), 
                                             std::max(vGridMin, vGrid_/4),
                                             rebateDampingSteps,
                                             schemeDesc_)));

            results_.value = vanillaOption->NPV()   + rebateOption->NPV()
                                                    - results_.value;
            results_.delta = vanillaOption->delta() + rebateOption->delta()
                                                    - results_.delta;
            results_.gamma = vanillaOption->gamma() + rebateOption->gamma()
                                                    - results_.gamma;
            results_.theta = vanillaOption->theta() + rebateOption->theta()
                                                    - results_.theta;
        }
    }