public FlatForward(Date referenceDate, double forward, DayCounter dayCounter, Compounding compounding, Frequency frequency)
: base(referenceDate, new Calendar(), dayCounter)
{
forward_ = new SimpleQuote(forward);
compounding_ = compounding;
frequency_ = frequency;
}
public FlatForward(Date referenceDate, Quote forward, DayCounter dayCounter, Compounding compounding, Frequency frequency)
: base(referenceDate, new Calendar(), dayCounter)
{
forward_ = forward;
compounding_ = compounding;
frequency_ = frequency;
forward_.registerWith(update);
}
public ZeroSpreadedTermStructure(Handle<YieldTermStructure> h, Quote spread, Compounding comp, Frequency freq, DayCounter dc) {
originalCurve_ = h;
spread_ = spread;
comp_ = comp;
freq_ = freq;
dc_ = dc;
//QL_REQUIRE(h->dayCounter()==dc_,
// "spread daycounter (" << dc_ <<
// ") must be the same of the curve to be spreaded (" <<
// originalCurve_->dayCounter() <<
// ")");
originalCurve_.registerWith(update);
spread_.registerWith(update);
}
public static YieldTermStructure flatRate(Date today, Quote forward, DayCounter dc)
{
return new FlatForward(today, forward, dc);
}
//philippe2009_17
public static BlackVolTermStructure flatVol(Quote vol, DayCounter dc)
{
return new BlackConstantVol(0, new NullCalendar(), new Handle<Quote>(vol), dc);
}
public static YieldTermStructure flatRate(Quote forward, DayCounter dc)
{
return new FlatForward(0, new NullCalendar(), forward, dc);
}
public FlatForward(int settlementDays, Calendar calendar, Quote forward, DayCounter dayCounter, Compounding compounding, Frequency frequency)
: base(settlementDays, calendar, dayCounter)
{
forward_ = forward;
compounding_ = compounding;
frequency_ = frequency;
forward_.registerWith(update);
}
public FlatForward(int settlementDays, Calendar calendar, Quote forward, DayCounter dayCounter, Compounding compounding)
: this(settlementDays, calendar, forward, dayCounter, compounding, Frequency.Annual)
{
}
public FlatForward(Date referenceDate, Quote forward, DayCounter dayCounter, Compounding compounding)
: this(referenceDate, forward, dayCounter, compounding, Frequency.Annual)
{
}
// constructors
public FlatForward(Date referenceDate, Quote forward, DayCounter dayCounter)
: this(referenceDate, forward, dayCounter, Compounding.Continuous, Frequency.Annual)
{
}
public FlatForward(int settlementDays, Calendar calendar, double forward, DayCounter dayCounter,
Compounding compounding, Frequency frequency)
: base(settlementDays, calendar, dayCounter)
{
forward_ = new SimpleQuote(forward);
compounding_ = compounding;
frequency_ = frequency;
}
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;
}
public ZeroSpreadedTermStructure(Handle<YieldTermStructure> h, Quote spread)
: this(h, spread, Compounding.Continuous, Frequency.NoFrequency, new DayCounter()) { }