/// <summary>
/// Method constructs QuantLib option price model with necessary estimators of underlying volatility, risk free rate, and underlying dividend yield
/// </summary>
/// <param name="pricingEngineFunc">Function takes option and modeled stochastic process, and returns new pricing engine to run calculations for that option</param>
/// <param name="underlyingVolEstimator">The underlying volatility estimator</param>
/// <param name="riskFreeRateEstimator">The risk free rate estimator</param>
/// <param name="dividendYieldEstimator">The underlying dividend yield estimator</param>
public QLOptionPriceModel(PricingEngineFuncEx pricingEngineFunc, IQLUnderlyingVolatilityEstimator underlyingVolEstimator, IQLRiskFreeRateEstimator riskFreeRateEstimator, IQLDividendYieldEstimator dividendYieldEstimator)
{
_pricingEngineFunc = pricingEngineFunc;
_underlyingVolEstimator = underlyingVolEstimator ?? new ConstantQLUnderlyingVolatilityEstimator();
_riskFreeRateEstimator = riskFreeRateEstimator ?? new ConstantQLRiskFreeRateEstimator();
_dividendYieldEstimator = dividendYieldEstimator ?? new ConstantQLDividendYieldEstimator();
}
/// <summary>
/// Pricing engine for European options using finite-differences.
/// QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html
/// </summary>
/// <returns>New option price model instance</returns>
public static IOptionPriceModel CrankNicolsonFD()
{
PricingEngineFuncEx pricingEngineFunc = (symbol, process) =>
symbol.ID.OptionStyle == OptionStyle.American ?
new FDAmericanEngine(process, _timeStepsFD, _timeStepsFD - 1) as IPricingEngine :
new FDEuropeanEngine(process, _timeStepsFD, _timeStepsFD - 1) as IPricingEngine;
return(new QLOptionPriceModel(pricingEngineFunc,
_underlyingVolEstimator,
_riskFreeRateEstimator,
_dividendYieldEstimator));
}
/// <summary>
/// Method constructs QuantLib option price model with necessary estimators of underlying volatility, risk free rate, and underlying dividend yield
/// </summary>
/// <param name="pricingEngineFunc">Function takes option and modeled stochastic process, and returns new pricing engine to run calculations for that option</param>
/// <param name="underlyingVolEstimator">The underlying volatility estimator</param>
/// <param name="riskFreeRateEstimator">The risk free rate estimator</param>
/// <param name="dividendYieldEstimator">The underlying dividend yield estimator</param>
/// <param name="allowedOptionStyles">List of option styles supported by the pricing model. It defaults to both American and European option styles</param>
public QLOptionPriceModel(PricingEngineFuncEx pricingEngineFunc, IQLUnderlyingVolatilityEstimator underlyingVolEstimator, IQLRiskFreeRateEstimator riskFreeRateEstimator, IQLDividendYieldEstimator dividendYieldEstimator, OptionStyle[] allowedOptionStyles = null)
{
_pricingEngineFunc = pricingEngineFunc;
_underlyingVolEstimator = underlyingVolEstimator ?? new ConstantQLUnderlyingVolatilityEstimator();
_riskFreeRateEstimator = riskFreeRateEstimator ?? new ConstantQLRiskFreeRateEstimator();
_dividendYieldEstimator = dividendYieldEstimator ?? new ConstantQLDividendYieldEstimator();
AllowedOptionStyles = allowedOptionStyles ?? _defaultAllowedOptionStyles;
// Required for QL to consider the option as not expired on the expiration date.
// This is done in the constructor instead of a static contructor because QLNet.Settings attributes are ThreadStatic,
// so doing it in a static constructor would only set it for the first thread that instantiates QLOptionPriceModel or
// accesses any of its static members.
QLNet.Settings.includeReferenceDateEvents = true;
}