GeneralizedBlackScholesProcess makeProcess(Quote u, YieldTermStructure q, YieldTermStructure r, BlackVolTermStructure vol)
{
return new BlackScholesMertonProcess(new Handle<Quote>(u), new Handle<YieldTermStructure>(q),
new Handle<YieldTermStructure>(r), new Handle<BlackVolTermStructure>(vol));
}
VanillaOption makeOption(StrikedTypePayoff payoff, Exercise exercise, Quote u, YieldTermStructure q,
YieldTermStructure r, BlackVolTermStructure vol, EngineType engineType, int binomialSteps, int samples)
{
GeneralizedBlackScholesProcess stochProcess = makeProcess(u, q, r, vol);
IPricingEngine engine;
switch (engineType)
{
case EngineType.Analytic:
engine = new AnalyticEuropeanEngine(stochProcess);
break;
case EngineType.JR:
engine = new BinomialVanillaEngine<JarrowRudd>(stochProcess, binomialSteps);
break;
case EngineType.CRR:
engine = new BinomialVanillaEngine<CoxRossRubinstein>(stochProcess, binomialSteps);
break;
case EngineType.EQP:
engine = new BinomialVanillaEngine<AdditiveEQPBinomialTree>(stochProcess, binomialSteps);
break;
case EngineType.TGEO:
engine = new BinomialVanillaEngine<Trigeorgis>(stochProcess, binomialSteps);
break;
case EngineType.TIAN:
engine = new BinomialVanillaEngine<Tian>(stochProcess, binomialSteps);
break;
case EngineType.LR:
engine = new BinomialVanillaEngine<LeisenReimer>(stochProcess, binomialSteps);
break;
case EngineType.JOSHI:
engine = new BinomialVanillaEngine<Joshi4>(stochProcess, binomialSteps);
break;
case EngineType.FiniteDifferences:
engine = new FDEuropeanEngine(stochProcess, binomialSteps, samples);
break;
case EngineType.Integral:
engine = new IntegralEngine(stochProcess);
break;
//case EngineType.PseudoMonteCarlo:
// engine = MakeMCEuropeanEngine<PseudoRandom>(stochProcess)
// .withSteps(1)
// .withSamples(samples)
// .withSeed(42);
// break;
//case EngineType.QuasiMonteCarlo:
// engine = MakeMCEuropeanEngine<LowDiscrepancy>(stochProcess)
// .withSteps(1)
// .withSamples(samples);
// break;
default:
throw new ArgumentException("unknown engine type");
}
VanillaOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
return option;
}
