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;
}
protected override void performCalculations()
{
exerciseDate_ = calendar_.advance(termStructure_.link.referenceDate(), maturity_);
tau_ = termStructure_.link.timeFromReference(exerciseDate_);
type_ = strikePrice_ * termStructure_.link.discount(tau_) >=
s0_.link.value() * dividendYield_.link.discount(tau_)
? Option.Type.Call
: Option.Type.Put;
StrikedTypePayoff payoff = new PlainVanillaPayoff(type_, strikePrice_);
Exercise exercise = new EuropeanExercise(exerciseDate_);
option_ = new VanillaOption(payoff, exercise);
base.performCalculations();
}
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);
}
