public void REPORT_FAILURE(string greekName, DoubleBarrier.Type barrierType, double barrierlo, double barrierhi,
StrikedTypePayoff payoff, Exercise exercise, double s, double q,
double r, Date today, double v, double expected, double calculated, double error,
double tolerance)
{
QAssert.Fail(barrierType + " " + exercise + " "
+ payoff.optionType() + " option with "
+ payoff + " payoff:\n"
+ " underlying value: " + s + "\n"
+ " strike: " + payoff.strike() + "\n"
+ " barrier low: " + barrierlo + "\n"
+ " barrier high: " + barrierhi + "\n"
+ " dividend yield: " + q + "\n"
+ " risk-free rate: " + r + "\n"
+ " reference date: " + today + "\n"
+ " maturity: " + exercise.lastDate() + "\n"
+ " volatility: " + v + "\n\n"
+ " expected " + greekName + ": " + expected + "\n"
+ " calculated " + greekName + ": " + calculated + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
public override void calculate()
{
AmericanExercise ex = arguments_.exercise as AmericanExercise;
Utils.QL_REQUIRE(ex != null, () => "non-American exercise given");
Utils.QL_REQUIRE(ex.dates()[0] <= process_.blackVolatility().link.referenceDate(), () =>
"American option with window exercise not handled yet");
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-striked payoff given");
double spot = process_.stateVariable().link.value();
Utils.QL_REQUIRE(spot > 0.0, () => "negative or null underlying given");
double variance = process_.blackVolatility().link.blackVariance(ex.lastDate(), payoff.strike());
double dividendDiscount = process_.dividendYield().link.discount(ex.lastDate());
double riskFreeDiscount = process_.riskFreeRate().link.discount(ex.lastDate());
if (ex.payoffAtExpiry())
{
AmericanPayoffAtExpiry pricer = new AmericanPayoffAtExpiry(spot, riskFreeDiscount,
dividendDiscount, variance,
payoff, knock_in());
results_.value = pricer.value();
}
else
{
AmericanPayoffAtHit pricer = new AmericanPayoffAtHit(spot, riskFreeDiscount, dividendDiscount, variance, payoff);
results_.value = pricer.value();
results_.delta = pricer.delta();
results_.gamma = pricer.gamma();
DayCounter rfdc = process_.riskFreeRate().link.dayCounter();
double t = rfdc.yearFraction(process_.riskFreeRate().link.referenceDate(),
arguments_.exercise.lastDate());
results_.rho = pricer.rho(t);
}
}