protected override PathPricer <IPath> pathPricer()
{
PlainVanillaPayoff payoff = this.arguments_.payoff as PlainVanillaPayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-plain payoff given");
HestonProcess process = this.process_ as HestonProcess;
Utils.QL_REQUIRE(process != null, () => "Heston process required");
return(new EuropeanHestonPathPricer(payoff.optionType(),
payoff.strike(),
process.riskFreeRate().link.discount(this.timeGrid().Last())));
}
protected override PathPricer <IPath> pathPricer()
{
PlainVanillaPayoff payoff = (PlainVanillaPayoff)(this.arguments_.payoff);
Utils.QL_REQUIRE(payoff != null, () => "non-plain payoff given");
EuropeanExercise exercise = (EuropeanExercise)this.arguments_.exercise;
Utils.QL_REQUIRE(exercise != null, () => "wrong exercise given");
return((PathPricer <IPath>) new ArithmeticAPOPathPricer(
payoff.optionType(),
payoff.strike(),
this.process_.riskFreeRate().link.discount(this.timeGrid().Last()),
this.arguments_.runningAccumulator.GetValueOrDefault(),
this.arguments_.pastFixings.GetValueOrDefault()));
}
protected override PathPricer <IPath> controlPathPricer()
{
PlainVanillaPayoff payoff = (PlainVanillaPayoff)this.arguments_.payoff;
Utils.QL_REQUIRE(payoff != null, () => "non-plain payoff given");
EuropeanExercise exercise = (EuropeanExercise)this.arguments_.exercise;
Utils.QL_REQUIRE(exercise != null, () => "wrong exercise given");
// for seasoned option the geometric strike might be rescaled
// to obtain an equivalent arithmetic strike.
// Any change applied here MUST be applied to the analytic engine too
return((PathPricer <IPath>) new GeometricAPOPathPricer(
payoff.optionType(),
payoff.strike(),
this.process_.riskFreeRate().link.discount(this.timeGrid().Last())));
}
public void REPORT_FAILURE_2(String greekName, BasketType basketType, PlainVanillaPayoff payoff, Exercise exercise,
double s1, double s2, double q1, double q2, double r, Date today, double v1, double v2, double rho,
double expected, double calculated, double error, double tolerance)
{
Assert.Fail(Utilities.exerciseTypeToString(exercise) + " "
+ payoff.optionType() + " option on "
+ basketTypeToString(basketType)
+ " with " + Utilities.payoffTypeToString(payoff) + " payoff:\n"
+ "1st underlying value: " + s1 + "\n"
+ "2nd underlying value: " + s2 + "\n"
+ " strike: " + payoff.strike() + "\n"
+ " 1st dividend yield: " + q1 + "\n"
+ " 2nd dividend yield: " + q2 + "\n"
+ " risk-free rate: " + r + "\n"
+ " reference date: " + today + "\n"
+ " maturity: " + exercise.lastDate() + "\n"
+ "1st asset volatility: " + v1 + "\n"
+ "2nd asset volatility: " + v2 + "\n"
+ " correlation: " + rho + "\n\n"
+ " expected " + greekName + ": " + expected + "\n"
+ " calculated " + greekName + ": " + calculated + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
public override void calculate()
{
DayCounter rfdc = process_.riskFreeRate().link.dayCounter();
DayCounter divdc = process_.dividendYield().link.dayCounter();
DayCounter voldc = process_.blackVolatility().link.dayCounter();
Calendar volcal = process_.blackVolatility().link.calendar();
double s0 = process_.x0();
Utils.QL_REQUIRE(s0 > 0.0, () => "negative or null underlying");
double v = process_.blackVolatility().link.blackVol(arguments_.exercise.lastDate(), s0);
Date maturityDate = arguments_.exercise.lastDate();
double riskFreeRate = process_.riskFreeRate().link.zeroRate(maturityDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).value();
double q = process_.dividendYield().link.zeroRate(maturityDate, divdc, Compounding.Continuous, Frequency.NoFrequency).value();
Date referenceDate = process_.riskFreeRate().link.referenceDate();
// substract dividends
ConvertibleBond.option.Arguments args = arguments_ as ConvertibleBond.option.Arguments;
for (int i = 0; i < args.dividends.Count; i++)
{
if (args.dividends[i].date() >= referenceDate)
{
s0 -= args.dividends[i].amount() * process_.riskFreeRate().link.discount(args.dividends[i].date());
}
Utils.QL_REQUIRE(s0 > 0.0, () => "negative value after substracting dividends");
}
// binomial trees with constant coefficient
Handle <Quote> underlying = new Handle <Quote>(new SimpleQuote(s0));
Handle <YieldTermStructure> flatRiskFree =
new Handle <YieldTermStructure>(new FlatForward(referenceDate, riskFreeRate, rfdc));
Handle <YieldTermStructure> flatDividends =
new Handle <YieldTermStructure>(new FlatForward(referenceDate, q, divdc));
Handle <BlackVolTermStructure> flatVol =
new Handle <BlackVolTermStructure>(new BlackConstantVol(referenceDate, volcal, v, voldc));
PlainVanillaPayoff payoff = args.payoff as PlainVanillaPayoff;
Utils.QL_REQUIRE(payoff != null, () => " non-plain payoff given ");
double maturity = rfdc.yearFraction(args.settlementDate, maturityDate);
GeneralizedBlackScholesProcess bs =
new GeneralizedBlackScholesProcess(underlying, flatDividends, flatRiskFree, flatVol);
T Tree = new T().factory(bs, maturity, timeSteps_, payoff.strike());
double creditSpread = args.creditSpread.link.value();
TsiveriotisFernandesLattice <T> lattice = new TsiveriotisFernandesLattice <T>(Tree, riskFreeRate,
maturity, timeSteps_, creditSpread, v, q);
DiscretizedConvertible convertible = new DiscretizedConvertible(args, bs, new TimeGrid(maturity, timeSteps_));
convertible.initialize(lattice, maturity);
convertible.rollback(0.0);
results_.value = convertible.presentValue();
Utils.QL_REQUIRE(results_.value < double.MaxValue, () => "floating-point overflow on tree grid");
}
