public override void calculate()
{
Utils.QL_REQUIRE(process_.x0() > 0.0, () => "negative or null underlying given");
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-striked payoff given");
Exercise exercise = arguments_.exercise;
double t = process_.riskFreeRate().link.dayCounter().yearFraction(process_.riskFreeRate().link.referenceDate(),
exercise.lastDate());
double a = model_.link.parameters()[0];
double sigma = model_.link.parameters()[1];
double eta = process_.blackVolatility().link.blackVol(exercise.lastDate(), payoff.strike());
double varianceOffset;
if (a * t > Math.Pow(Const.QL_EPSILON, 0.25))
{
double v = sigma * sigma / (a * a) * (t + 2 / a * Math.Exp(-a * t) - 1 / (2 * a) * Math.Exp(-2 * a * t) - 3 / (2 * a));
double mu = 2 * rho_ * sigma * eta / a * (t - 1 / a * (1 - Math.Exp(-a * t)));
varianceOffset = v + mu;
}
else
{
// low-a algebraic limit
double v = sigma * sigma * t * t * t * (1 / 3.0 - 0.25 * a * t + 7 / 60.0 * a * a * t * t);
double mu = rho_ * sigma * eta * t * t * (1 - a * t / 3.0 + a * a * t * t / 12.0);
varianceOffset = v + mu;
}
Handle <BlackVolTermStructure> volTS = new Handle <BlackVolTermStructure>(
new ShiftedBlackVolTermStructure(varianceOffset, process_.blackVolatility()));
GeneralizedBlackScholesProcess adjProcess =
new GeneralizedBlackScholesProcess(process_.stateVariable(),
process_.dividendYield(),
process_.riskFreeRate(),
volTS);
AnalyticEuropeanEngine bsmEngine = new AnalyticEuropeanEngine(adjProcess);
VanillaOption option = new VanillaOption(payoff, exercise);
option.setupArguments(bsmEngine.getArguments());
bsmEngine.calculate();
results_ = bsmEngine.getResults() as OneAssetOption.Results;
}
/*! \warning currently, this method returns the Black-Scholes
* implied volatility using analytic formulas for
* European options and a finite-difference method
* for American and Bermudan options. It will give
* unconsistent results if the pricing was performed
* with any other methods (such as jump-diffusion
* models.)
*
* \warning options with a gamma that changes sign (e.g.,
* binary options) have values that are <b>not</b>
* monotonic in the volatility. In these cases, the
* calculation can fail and the result (if any) is
* almost meaningless. Another possible source of
* failure is to have a target value that is not
* attainable with any volatility, e.g., a target
* value lower than the intrinsic value in the case
* of American options.
*/
public double impliedVolatility(double targetValue,
GeneralizedBlackScholesProcess process,
double accuracy = 1.0e-4,
int maxEvaluations = 100,
double minVol = 1.0e-7,
double maxVol = 4.0)
{
Utils.QL_REQUIRE(!isExpired(), () => "option expired");
SimpleQuote volQuote = new SimpleQuote();
GeneralizedBlackScholesProcess newProcess = ImpliedVolatilityHelper.clone(process, volQuote);
// engines are built-in for the time being
IPricingEngine engine;
switch (exercise_.type())
{
case Exercise.Type.European:
engine = new AnalyticEuropeanEngine(newProcess);
break;
case Exercise.Type.American:
engine = new FDAmericanEngine(newProcess);
break;
case Exercise.Type.Bermudan:
engine = new FDBermudanEngine(newProcess);
break;
default:
throw new ArgumentException("unknown exercise type");
}
return(ImpliedVolatilityHelper.calculate(this, engine, volQuote, targetValue, accuracy,
maxEvaluations, minVol, maxVol));
}
public override void calculate()
{
PlainVanillaPayoff payoff = arguments_.payoff as PlainVanillaPayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-plain payoff given");
Utils.QL_REQUIRE(payoff.strike() > 0.0, () => "strike must be positive");
double K = payoff.strike();
double S = process_.x0();
Utils.QL_REQUIRE(S >= 0.0, () => "negative or null underlying given");
Utils.QL_REQUIRE(!triggered(S), () => "barrier touched");
DoubleBarrier.Type barrierType = arguments_.barrierType;
Utils.QL_REQUIRE(barrierType == DoubleBarrier.Type.KnockOut ||
barrierType == DoubleBarrier.Type.KnockIn, () =>
"only KnockIn and KnockOut options supported");
double L = arguments_.barrier_lo.GetValueOrDefault();
double H = arguments_.barrier_hi.GetValueOrDefault();
double K_up = Math.Min(H, K);
double K_down = Math.Max(L, K);
double T = residualTime();
double rd = riskFreeRate();
double dd = riskFreeDiscount();
double rf = dividendYield();
double df = dividendDiscount();
double vol = volatility();
double mu = rd - rf - vol * vol / 2.0;
double sgn = mu > 0 ? 1.0 : (mu < 0 ? -1.0 : 0.0);
//rebate
double R_L = arguments_.rebate.GetValueOrDefault();
double R_H = arguments_.rebate.GetValueOrDefault();
//european option
EuropeanOption europeanOption = new EuropeanOption(payoff, arguments_.exercise);
IPricingEngine analyticEuropeanEngine = new AnalyticEuropeanEngine(process_);
europeanOption.setPricingEngine(analyticEuropeanEngine);
double european = europeanOption.NPV();
double barrierOut = 0;
double rebateIn = 0;
for (int n = -series_; n < series_; n++)
{
double d1 = D(S / H * Math.Pow(L / H, 2.0 * n), vol * vol + mu, vol, T);
double d2 = d1 - vol * Math.Sqrt(T);
double g1 = D(H / S * Math.Pow(L / H, 2.0 * n - 1.0), vol * vol + mu, vol, T);
double g2 = g1 - vol * Math.Sqrt(T);
double h1 = D(S / H * Math.Pow(L / H, 2.0 * n - 1.0), vol * vol + mu, vol, T);
double h2 = h1 - vol * Math.Sqrt(T);
double k1 = D(L / S * Math.Pow(L / H, 2.0 * n - 1.0), vol * vol + mu, vol, T);
double k2 = k1 - vol * Math.Sqrt(T);
double d1_down = D(S / K_down * Math.Pow(L / H, 2.0 * n), vol * vol + mu, vol, T);
double d2_down = d1_down - vol * Math.Sqrt(T);
double d1_up = D(S / K_up * Math.Pow(L / H, 2.0 * n), vol * vol + mu, vol, T);
double d2_up = d1_up - vol * Math.Sqrt(T);
double k1_down = D((H * H) / (K_down * S) * Math.Pow(L / H, 2.0 * n), vol * vol + mu, vol, T);
double k2_down = k1_down - vol * Math.Sqrt(T);
double k1_up = D((H * H) / (K_up * S) * Math.Pow(L / H, 2.0 * n), vol * vol + mu, vol, T);
double k2_up = k1_up - vol * Math.Sqrt(T);
if (payoff.optionType() == Option.Type.Call)
{
barrierOut += Math.Pow(L / H, 2.0 * n * mu / (vol * vol)) *
(df * S * Math.Pow(L / H, 2.0 * n) * (f_.value(d1_down) - f_.value(d1))
- dd * K * (f_.value(d2_down) - f_.value(d2))
- df * Math.Pow(L / H, 2.0 * n) * H * H / S * Math.Pow(H / S, 2.0 * mu / (vol * vol)) * (f_.value(k1_down) - f_.value(k1))
+ dd * K * Math.Pow(H / S, 2.0 * mu / (vol * vol)) * (f_.value(k2_down) - f_.value(k2)));
}
else if (payoff.optionType() == Option.Type.Put)
{
barrierOut += Math.Pow(L / H, 2.0 * n * mu / (vol * vol)) *
(dd * K * (f_.value(h2) - f_.value(d2_up))
- df * S * Math.Pow(L / H, 2.0 * n) * (f_.value(h1) - f_.value(d1_up))
- dd * K * Math.Pow(H / S, 2.0 * mu / (vol * vol)) * (f_.value(g2) - f_.value(k2_up))
+ df * Math.Pow(L / H, 2.0 * n) * H * H / S * Math.Pow(H / S, 2.0 * mu / (vol * vol)) * (f_.value(g1) - f_.value(k1_up)));
}
else
{
Utils.QL_FAIL("option type not recognized");
}
double v1 = D(H / S * Math.Pow(H / L, 2.0 * n), -mu, vol, T);
double v2 = D(H / S * Math.Pow(H / L, 2.0 * n), mu, vol, T);
double v3 = D(S / L * Math.Pow(H / L, 2.0 * n), -mu, vol, T);
double v4 = D(S / L * Math.Pow(H / L, 2.0 * n), mu, vol, T);
rebateIn += dd * R_H * sgn * (Math.Pow(L / H, 2.0 * n * mu / (vol * vol)) * f_.value(sgn * v1) - Math.Pow(H / S, 2.0 * mu / (vol * vol)) * f_.value(-sgn * v2))
+ dd * R_L * sgn * (Math.Pow(L / S, 2.0 * mu / (vol * vol)) * f_.value(-sgn * v3) - Math.Pow(H / L, 2.0 * n * mu / (vol * vol)) * f_.value(sgn * v4));
}
//rebate paid at maturity
if (barrierType == DoubleBarrier.Type.KnockOut)
{
results_.value = barrierOut;
}
else
{
results_.value = european - barrierOut;
}
results_.additionalResults["vanilla"] = european;
results_.additionalResults["barrierOut"] = barrierOut;
results_.additionalResults["barrierIn"] = european - barrierOut;
}
public override void calculate()
{
AmericanExercise ex = arguments_.exercise as AmericanExercise;
Utils.QL_REQUIRE(ex != null, () => "non-American exercise given");
Utils.QL_REQUIRE(ex.payoffAtExpiry(), () => "payoff must be at expiry");
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?barrier = arguments_.barrier;
Utils.QL_REQUIRE(barrier > 0.0, () => "positive barrier value required");
Barrier.Type barrierType = arguments_.barrierType;
// KO degenerate cases
if ((barrierType == Barrier.Type.DownOut && spot <= barrier) ||
(barrierType == Barrier.Type.UpOut && spot >= barrier))
{
// knocked out, no value
results_.value = 0;
results_.delta = 0;
results_.gamma = 0;
results_.vega = 0;
results_.theta = 0;
results_.rho = 0;
results_.dividendRho = 0;
return;
}
// KI degenerate cases
if ((barrierType == Barrier.Type.DownIn && spot <= barrier) ||
(barrierType == Barrier.Type.UpIn && spot >= barrier))
{
// knocked in - is a digital european
Exercise exercise = new EuropeanExercise(arguments_.exercise.lastDate());
IPricingEngine engine = new AnalyticEuropeanEngine(process_);
VanillaOption opt = new VanillaOption(payoff, exercise);
opt.setPricingEngine(engine);
results_.value = opt.NPV();
results_.delta = opt.delta();
results_.gamma = opt.gamma();
results_.vega = opt.vega();
results_.theta = opt.theta();
results_.rho = opt.rho();
results_.dividendRho = opt.dividendRho();
return;
}
double riskFreeDiscount = process_.riskFreeRate().link.discount(ex.lastDate());
AnalyticBinaryBarrierEngine_helper helper = new AnalyticBinaryBarrierEngine_helper(
process_, payoff, ex, arguments_);
results_.value = helper.payoffAtExpiry(spot, variance, riskFreeDiscount);
}