public HullWhiteForwardProcess(Handle <YieldTermStructure> h, double a, double sigma)
{
process_ = new OrnsteinUhlenbeckProcess(a, sigma, h.link.forwardRate(0.0, 0.0,
Compounding.Continuous, Frequency.NoFrequency).value());
h_ = h;
a_ = a;
sigma_ = sigma;
}
public HullWhiteProcess(Handle <YieldTermStructure> h, double a, double sigma)
{
process_ = new OrnsteinUhlenbeckProcess(a, sigma, h.link.forwardRate(0.0, 0.0, Compounding.Continuous, Frequency.NoFrequency).value());
h_ = h;
a_ = a;
sigma_ = sigma;
Utils.QL_REQUIRE(a_ >= 0.0, () => "negative a given");
Utils.QL_REQUIRE(sigma_ >= 0.0, () => "negative sigma given");
}
public void testMultiPathGenerator()
{
//("Testing n-D path generation against cached values...");
//SavedSettings backup;
Settings.setEvaluationDate(new Date(26,4,2005));
Handle<Quote> x0=new Handle<Quote> (new SimpleQuote(100.0));
Handle<YieldTermStructure> r =new Handle<YieldTermStructure> (Utilities.flatRate(0.05, new Actual360()));
Handle<YieldTermStructure> q=new Handle<YieldTermStructure> (Utilities.flatRate(0.02, new Actual360()));
Handle<BlackVolTermStructure> sigma=new Handle<BlackVolTermStructure> (Utilities.flatVol(0.20, new Actual360()));
Matrix correlation=new Matrix(3,3);
correlation[0,0] = 1.0; correlation[0,1] = 0.9; correlation[0,2] = 0.7;
correlation[1,0] = 0.9; correlation[1,1] = 1.0; correlation[1,2] = 0.4;
correlation[2,0] = 0.7; correlation[2,1] = 0.4; correlation[2,2] = 1.0;
List<StochasticProcess1D> processes = new List<StochasticProcess1D>(3);
StochasticProcess process;
processes.Add(new BlackScholesMertonProcess(x0,q,r,sigma));
processes.Add(new BlackScholesMertonProcess(x0,q,r,sigma));
processes.Add(new BlackScholesMertonProcess(x0,q,r,sigma));
process = new StochasticProcessArray(processes,correlation);
// commented values must be used when Halley's correction is enabled
double[] result1 = {
188.2235868185,
270.6713069569,
113.0431145652 };
// Real result1[] = {
// 188.2235869273,
// 270.6713071508,
// 113.0431145652 };
double[] result1a = {
64.89105742957,
45.12494404804,
108.0475146914 };
// Real result1a[] = {
// 64.89105739157,
// 45.12494401537,
// 108.0475146914 };
testMultiple(process, "Black-Scholes", result1, result1a);
processes[0] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[1] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
processes[2] = new GeometricBrownianMotionProcess(100.0, 0.03, 0.20);
process = new StochasticProcessArray(processes,correlation);
double[] result2 = {
174.8266131680,
237.2692443633,
119.1168555440 };
// Real result2[] = {
// 174.8266132344,
// 237.2692444869,
// 119.1168555605 };
double[] result2a = {
57.69082393020,
38.50016862915,
116.4056510107 };
// Real result2a[] = {
// 57.69082387657,
// 38.50016858691,
// 116.4056510107 };
testMultiple(process, "geometric Brownian", result2, result2a);
processes[0] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[1] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
processes[2] = new OrnsteinUhlenbeckProcess(0.1, 0.20);
process = new StochasticProcessArray(processes,correlation);
double[] result3 = {
0.2942058437284,
0.5525006418386,
0.02650931054575 };
double[] result3a = {
-0.2942058437284,
-0.5525006418386,
-0.02650931054575 };
testMultiple(process, "Ornstein-Uhlenbeck", result3, result3a);
processes[0] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[1] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
processes[2] = new SquareRootProcess(0.1, 0.1, 0.20, 10.0);
process = new StochasticProcessArray(processes,correlation);
double[] result4 = {
4.279510844897,
4.943783503533,
3.590930385958 };
double[] result4a = {
2.763967737724,
2.226487196647,
3.503859264341 };
testMultiple(process, "square-root", result4, result4a);
}
public override void calculate()
{
// 1. Term structure
Handle <YieldTermStructure> ts = model_.currentLink().termStructure();
// 2. Mesher
DayCounter dc = ts.currentLink().dayCounter();
Date referenceDate = ts.currentLink().referenceDate();
double maturity = dc.yearFraction(referenceDate,
arguments_.exercise.lastDate());
OrnsteinUhlenbeckProcess process = new OrnsteinUhlenbeckProcess(model_.currentLink().a(), model_.currentLink().sigma());
Fdm1dMesher shortRateMesher =
new FdmSimpleProcess1DMesher(xGrid_, process, maturity, 1, invEps_);
FdmMesher mesher = new FdmMesherComposite(shortRateMesher);
// 3. Inner Value Calculator
List <Date> exerciseDates = arguments_.exercise.dates();
Dictionary <double, Date> t2d = new Dictionary <double, Date>();
for (int i = 0; i < exerciseDates.Count; ++i)
{
double t = dc.yearFraction(referenceDate, exerciseDates[i]);
Utils.QL_REQUIRE(t >= 0, () => "exercise dates must not contain past date");
t2d.Add(t, exerciseDates[i]);
}
Handle <YieldTermStructure> disTs = model_.currentLink().termStructure();
Handle <YieldTermStructure> fwdTs
= arguments_.swap.iborIndex().forwardingTermStructure();
Utils.QL_REQUIRE(fwdTs.currentLink().dayCounter() == disTs.currentLink().dayCounter(),
() => "day counter of forward and discount curve must match");
Utils.QL_REQUIRE(fwdTs.currentLink().referenceDate() == disTs.currentLink().referenceDate(),
() => "reference date of forward and discount curve must match");
HullWhite fwdModel =
new HullWhite(fwdTs, model_.currentLink().a(), model_.currentLink().sigma());
FdmInnerValueCalculator calculator =
new FdmAffineModelSwapInnerValue <HullWhite>(
model_.currentLink(), fwdModel,
arguments_.swap, t2d, mesher, 0);
// 4. Step conditions
FdmStepConditionComposite conditions =
FdmStepConditionComposite.vanillaComposite(
new DividendSchedule(), arguments_.exercise,
mesher, calculator, referenceDate, dc);
// 5. Boundary conditions
FdmBoundaryConditionSet boundaries = new FdmBoundaryConditionSet();
// 6. Solver
FdmSolverDesc solverDesc = new FdmSolverDesc();
solverDesc.mesher = mesher;
solverDesc.bcSet = boundaries;
solverDesc.condition = conditions;
solverDesc.calculator = calculator;
solverDesc.maturity = maturity;
solverDesc.timeSteps = tGrid_;
solverDesc.dampingSteps = dampingSteps_;
FdmHullWhiteSolver solver =
new FdmHullWhiteSolver(model_, solverDesc, schemeDesc_);
results_.value = solver.valueAt(0.0);
}
