public override void calculate()
{
// 1. Mesher
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
double maturity = process_.time(arguments_.exercise.lastDate());
Fdm1dMesher equityMesher =
new FdmBlackScholesMesher(
xGrid_, process_, maturity, payoff.strike(),
null, null, 0.0001, 1.5,
new Pair <double?, double?>(payoff.strike(), 0.1));
FdmMesher mesher =
new FdmMesherComposite(equityMesher);
// 2. Calculator
FdmInnerValueCalculator calculator = new FdmLogInnerValue(payoff, mesher, 0);
// 3. Step conditions
FdmStepConditionComposite conditions = FdmStepConditionComposite.vanillaComposite(
arguments_.cashFlow, arguments_.exercise,
mesher, calculator,
process_.riskFreeRate().currentLink().referenceDate(),
process_.riskFreeRate().currentLink().dayCounter());
// 4. Boundary conditions
FdmBoundaryConditionSet boundaries = new FdmBoundaryConditionSet();
// 5. Solver
FdmSolverDesc solverDesc = new FdmSolverDesc();
solverDesc.mesher = mesher;
solverDesc.bcSet = boundaries;
solverDesc.condition = conditions;
solverDesc.calculator = calculator;
solverDesc.maturity = maturity;
solverDesc.dampingSteps = dampingSteps_;
solverDesc.timeSteps = tGrid_;
FdmBlackScholesSolver solver =
new FdmBlackScholesSolver(
new Handle <GeneralizedBlackScholesProcess>(process_),
payoff.strike(), solverDesc, schemeDesc_,
localVol_, illegalLocalVolOverwrite_);
double spot = process_.x0();
results_.value = solver.valueAt(spot);
results_.delta = solver.deltaAt(spot);
results_.gamma = solver.gammaAt(spot);
results_.theta = solver.thetaAt(spot);
}
public override void calculate()
{
// 1. Mesher
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
double maturity = process_.time(arguments_.exercise.lastDate());
double?xMin = null;
double?xMax = null;
if (arguments_.barrierType == Barrier.Type.DownIn ||
arguments_.barrierType == Barrier.Type.DownOut)
{
xMin = Math.Log(arguments_.barrier.Value);
}
if (arguments_.barrierType == Barrier.Type.UpIn ||
arguments_.barrierType == Barrier.Type.UpOut)
{
xMax = Math.Log(arguments_.barrier.Value);
}
Fdm1dMesher equityMesher =
new FdmBlackScholesMesher(xGrid_, process_, maturity,
payoff.strike(), xMin, xMax);
FdmMesher mesher =
new FdmMesherComposite(equityMesher);
// 2. Calculator
StrikedTypePayoff rebatePayoff =
new CashOrNothingPayoff(Option.Type.Call, 0.0, arguments_.rebate.Value);
FdmInnerValueCalculator calculator =
new FdmLogInnerValue(rebatePayoff, mesher, 0);
// 3. Step conditions
Utils.QL_REQUIRE(arguments_.exercise.type() == Exercise.Type.European,
() => "only european style option are supported");
FdmStepConditionComposite conditions =
FdmStepConditionComposite.vanillaComposite(
arguments_.cashFlow, arguments_.exercise,
mesher, calculator,
process_.riskFreeRate().currentLink().referenceDate(),
process_.riskFreeRate().currentLink().dayCounter());
// 4. Boundary conditions
FdmBoundaryConditionSet boundaries = new FdmBoundaryConditionSet();
if (arguments_.barrierType == Barrier.Type.DownIn ||
arguments_.barrierType == Barrier.Type.DownOut)
{
boundaries.Add(new FdmDirichletBoundary(mesher, arguments_.rebate.Value, 0,
FdmDirichletBoundary.Side.Lower));
}
if (arguments_.barrierType == Barrier.Type.UpIn ||
arguments_.barrierType == Barrier.Type.UpOut)
{
boundaries.Add(new FdmDirichletBoundary(mesher, arguments_.rebate.Value, 0,
FdmDirichletBoundary.Side.Upper));
}
// 5. Solver
FdmSolverDesc solverDesc = new FdmSolverDesc();
solverDesc.mesher = mesher;
solverDesc.bcSet = boundaries;
solverDesc.condition = conditions;
solverDesc.calculator = calculator;
solverDesc.maturity = maturity;
solverDesc.dampingSteps = dampingSteps_;
solverDesc.timeSteps = tGrid_;
FdmBlackScholesSolver solver =
new FdmBlackScholesSolver(
new Handle <GeneralizedBlackScholesProcess>(process_),
payoff.strike(), solverDesc, schemeDesc_,
localVol_, illegalLocalVolOverwrite_);
double spot = process_.x0();
results_.value = solver.valueAt(spot);
results_.delta = solver.deltaAt(spot);
results_.gamma = solver.gammaAt(spot);
results_.theta = solver.thetaAt(spot);
}
public override void calculate()
{
// 0. Cash dividend model
Date exerciseDate = arguments_.exercise.lastDate();
double maturity = process_.time(exerciseDate);
Date settlementDate = process_.riskFreeRate().currentLink().referenceDate();
double spotAdjustment = 0.0;
DividendSchedule dividendSchedule = new DividendSchedule();
switch (cashDividendModel_)
{
case CashDividendModel.Spot:
dividendSchedule = arguments_.cashFlow;
break;
case CashDividendModel.Escrowed:
foreach (Dividend divIter in dividendSchedule)
{
Date divDate = divIter.date();
if (divDate <= exerciseDate && divDate >= settlementDate)
{
double divAmount = divIter.amount();
double discount =
process_.riskFreeRate().currentLink().discount(divDate) /
process_.dividendYield().currentLink().discount(divDate);
spotAdjustment -= divAmount * discount;
}
}
Utils.QL_REQUIRE(process_.x0() + spotAdjustment > 0.0,
() => "spot minus dividends becomes negative");
break;
default:
Utils.QL_FAIL("unknwon cash dividend model");
break;
}
// 1. Mesher
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
Fdm1dMesher equityMesher =
new FdmBlackScholesMesher(
xGrid_, process_, maturity, payoff.strike(),
null, null, 0.0001, 1.5,
new Pair <double?, double?>(payoff.strike(), 0.1),
dividendSchedule, quantoHelper_,
spotAdjustment);
FdmMesher mesher =
new FdmMesherComposite(equityMesher);
// 2. Calculator
FdmInnerValueCalculator calculator = new FdmLogInnerValue(payoff, mesher, 0);
// 3. Step conditions
FdmStepConditionComposite conditions = FdmStepConditionComposite.vanillaComposite(
arguments_.cashFlow, arguments_.exercise,
mesher, calculator,
process_.riskFreeRate().currentLink().referenceDate(),
process_.riskFreeRate().currentLink().dayCounter());
// 4. Boundary conditions
FdmBoundaryConditionSet boundaries = new FdmBoundaryConditionSet();
// 5. Solver
FdmSolverDesc solverDesc = new FdmSolverDesc();
solverDesc.mesher = mesher;
solverDesc.bcSet = boundaries;
solverDesc.condition = conditions;
solverDesc.calculator = calculator;
solverDesc.maturity = maturity;
solverDesc.dampingSteps = dampingSteps_;
solverDesc.timeSteps = tGrid_;
FdmBlackScholesSolver solver =
new FdmBlackScholesSolver(
new Handle <GeneralizedBlackScholesProcess>(process_),
payoff.strike(), solverDesc, schemeDesc_,
localVol_, illegalLocalVolOverwrite_);
double spot = process_.x0();
results_.value = solver.valueAt(spot);
results_.delta = solver.deltaAt(spot);
results_.gamma = solver.gammaAt(spot);
results_.theta = solver.thetaAt(spot);
}
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);
}