/src/quantlib/ql/pricingengines/barrier/analyticbarrierengine.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
5 | | Copyright (C) 2002, 2003 Ferdinando Ametrano |
6 | | Copyright (C) 2002, 2003 Sadruddin Rejeb |
7 | | Copyright (C) 2003 Neil Firth |
8 | | Copyright (C) 2007 StatPro Italia srl |
9 | | |
10 | | This file is part of QuantLib, a free-software/open-source library |
11 | | for financial quantitative analysts and developers - http://quantlib.org/ |
12 | | |
13 | | QuantLib is free software: you can redistribute it and/or modify it |
14 | | under the terms of the QuantLib license. You should have received a |
15 | | copy of the license along with this program; if not, please email |
16 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
17 | | <https://www.quantlib.org/license.shtml>. |
18 | | |
19 | | This program is distributed in the hope that it will be useful, but WITHOUT |
20 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
21 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
22 | | */ |
23 | | |
24 | | #include <ql/exercise.hpp> |
25 | | #include <ql/pricingengines/barrier/analyticbarrierengine.hpp> |
26 | | #include <utility> |
27 | | |
28 | | namespace QuantLib { |
29 | | |
30 | | AnalyticBarrierEngine::AnalyticBarrierEngine( |
31 | | ext::shared_ptr<GeneralizedBlackScholesProcess> process) |
32 | 0 | : process_(std::move(process)) { |
33 | 0 | registerWith(process_); |
34 | 0 | } |
35 | | |
36 | 0 | void AnalyticBarrierEngine::calculate() const { |
37 | |
|
38 | 0 | ext::shared_ptr<PlainVanillaPayoff> payoff = |
39 | 0 | ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); |
40 | 0 | QL_REQUIRE(payoff, "non-plain payoff given"); |
41 | 0 | QL_REQUIRE(payoff->strike()>0.0, |
42 | 0 | "strike must be positive"); |
43 | | |
44 | 0 | QL_REQUIRE(arguments_.exercise->type() == Exercise::European, |
45 | 0 | "only european style option are supported"); |
46 | | |
47 | 0 | Real strike = payoff->strike(); |
48 | 0 | Real spot = process_->x0(); |
49 | 0 | QL_REQUIRE(spot > 0.0, "negative or null underlying given"); |
50 | 0 | QL_REQUIRE(!triggered(spot), "barrier touched"); |
51 | | |
52 | 0 | Barrier::Type barrierType = arguments_.barrierType; |
53 | |
|
54 | 0 | switch (payoff->optionType()) { |
55 | 0 | case Option::Call: |
56 | 0 | switch (barrierType) { |
57 | 0 | case Barrier::DownIn: |
58 | 0 | if (strike >= barrier()) |
59 | 0 | results_.value = C(1,1) + E(1); |
60 | 0 | else |
61 | 0 | results_.value = A(1) - B(1) + D(1,1) + E(1); |
62 | 0 | break; |
63 | 0 | case Barrier::UpIn: |
64 | 0 | if (strike >= barrier()) |
65 | 0 | results_.value = A(1) + E(-1); |
66 | 0 | else |
67 | 0 | results_.value = B(1) - C(-1,1) + D(-1,1) + E(-1); |
68 | 0 | break; |
69 | 0 | case Barrier::DownOut: |
70 | 0 | if (strike >= barrier()) |
71 | 0 | results_.value = A(1) - C(1,1) + F(1); |
72 | 0 | else |
73 | 0 | results_.value = B(1) - D(1,1) + F(1); |
74 | 0 | break; |
75 | 0 | case Barrier::UpOut: |
76 | 0 | if (strike >= barrier()) |
77 | 0 | results_.value = F(-1); |
78 | 0 | else |
79 | 0 | results_.value = A(1) - B(1) + C(-1,1) - D(-1,1) + F(-1); |
80 | 0 | break; |
81 | 0 | } |
82 | 0 | break; |
83 | 0 | case Option::Put: |
84 | 0 | switch (barrierType) { |
85 | 0 | case Barrier::DownIn: |
86 | 0 | if (strike >= barrier()) |
87 | 0 | results_.value = B(-1) - C(1,-1) + D(1,-1) + E(1); |
88 | 0 | else |
89 | 0 | results_.value = A(-1) + E(1); |
90 | 0 | break; |
91 | 0 | case Barrier::UpIn: |
92 | 0 | if (strike >= barrier()) |
93 | 0 | results_.value = A(-1) - B(-1) + D(-1,-1) + E(-1); |
94 | 0 | else |
95 | 0 | results_.value = C(-1,-1) + E(-1); |
96 | 0 | break; |
97 | 0 | case Barrier::DownOut: |
98 | 0 | if (strike >= barrier()) |
99 | 0 | results_.value = A(-1) - B(-1) + C(1,-1) - D(1,-1) + F(1); |
100 | 0 | else |
101 | 0 | results_.value = F(1); |
102 | 0 | break; |
103 | 0 | case Barrier::UpOut: |
104 | 0 | if (strike >= barrier()) |
105 | 0 | results_.value = B(-1) - D(-1,-1) + F(-1); |
106 | 0 | else |
107 | 0 | results_.value = A(-1) - C(-1,-1) + F(-1); |
108 | 0 | break; |
109 | 0 | } |
110 | 0 | break; |
111 | 0 | default: |
112 | 0 | QL_FAIL("unknown type"); |
113 | 0 | } |
114 | 0 | } |
115 | | |
116 | | |
117 | 0 | Real AnalyticBarrierEngine::underlying() const { |
118 | 0 | return process_->x0(); |
119 | 0 | } |
120 | | |
121 | 0 | Real AnalyticBarrierEngine::strike() const { |
122 | 0 | ext::shared_ptr<PlainVanillaPayoff> payoff = |
123 | 0 | ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); |
124 | 0 | QL_REQUIRE(payoff, "non-plain payoff given"); |
125 | 0 | return payoff->strike(); |
126 | 0 | } |
127 | | |
128 | 0 | Volatility AnalyticBarrierEngine::volatility() const { |
129 | 0 | return process_->blackVolatility()->blackVol( |
130 | 0 | arguments_.exercise->lastDate(), |
131 | 0 | strike()); |
132 | 0 | } |
133 | | |
134 | 0 | Real AnalyticBarrierEngine::stdDeviation() const { |
135 | 0 | return std::sqrt(process_->blackVolatility()->blackVariance( |
136 | 0 | arguments_.exercise->lastDate(), |
137 | 0 | strike())); |
138 | 0 | } |
139 | | |
140 | 0 | Real AnalyticBarrierEngine::barrier() const { |
141 | 0 | return arguments_.barrier; |
142 | 0 | } |
143 | | |
144 | 0 | Real AnalyticBarrierEngine::rebate() const { |
145 | 0 | return arguments_.rebate; |
146 | 0 | } |
147 | | |
148 | 0 | Rate AnalyticBarrierEngine::riskFreeRate() const { |
149 | 0 | return process_->riskFreeRate()->zeroRate( |
150 | 0 | arguments_.exercise->lastDate(), |
151 | 0 | process_->riskFreeRate()->dayCounter(), |
152 | 0 | Continuous, NoFrequency); |
153 | 0 | } |
154 | | |
155 | 0 | DiscountFactor AnalyticBarrierEngine::riskFreeDiscount() const { |
156 | 0 | return process_->riskFreeRate()->discount( |
157 | 0 | arguments_.exercise->lastDate()); |
158 | 0 | } |
159 | | |
160 | 0 | Rate AnalyticBarrierEngine::dividendYield() const { |
161 | 0 | return process_->dividendYield()->zeroRate( |
162 | 0 | arguments_.exercise->lastDate(), |
163 | 0 | process_->dividendYield()->dayCounter(), |
164 | 0 | Continuous, NoFrequency); |
165 | 0 | } |
166 | | |
167 | 0 | DiscountFactor AnalyticBarrierEngine::dividendDiscount() const { |
168 | 0 | return process_->dividendYield()->discount( |
169 | 0 | arguments_.exercise->lastDate()); |
170 | 0 | } |
171 | | |
172 | 0 | Rate AnalyticBarrierEngine::mu() const { |
173 | 0 | Volatility vol = volatility(); |
174 | 0 | return (riskFreeRate() - dividendYield())/(vol * vol) - 0.5; |
175 | 0 | } |
176 | | |
177 | 0 | Real AnalyticBarrierEngine::muSigma() const { |
178 | 0 | return (1 + mu()) * stdDeviation(); |
179 | 0 | } |
180 | | |
181 | 0 | Real AnalyticBarrierEngine::A(Real phi) const { |
182 | 0 | Real x1 = |
183 | 0 | std::log(underlying()/strike())/stdDeviation() + muSigma(); |
184 | 0 | Real N1 = f_(phi*x1); |
185 | 0 | Real N2 = f_(phi*(x1-stdDeviation())); |
186 | |
|
187 | 0 | return phi*(underlying() * dividendDiscount() * N1 |
188 | 0 | - strike() * riskFreeDiscount() * N2); |
189 | 0 | } |
190 | | |
191 | 0 | Real AnalyticBarrierEngine::B(Real phi) const { |
192 | 0 | Real x2 = |
193 | 0 | std::log(underlying()/barrier())/stdDeviation() + muSigma(); |
194 | 0 | Real N1 = f_(phi*x2); |
195 | 0 | Real N2 = f_(phi*(x2-stdDeviation())); |
196 | 0 | return phi*(underlying() * dividendDiscount() * N1 |
197 | 0 | - strike() * riskFreeDiscount() * N2); |
198 | 0 | } |
199 | | |
200 | 0 | Real AnalyticBarrierEngine::C(Real eta, Real phi) const { |
201 | 0 | Real HS = barrier()/underlying(); |
202 | 0 | Real powHS0 = std::pow(HS, 2 * mu()); |
203 | 0 | Real powHS1 = powHS0 * HS * HS; |
204 | 0 | Real y1 = std::log(barrier()*HS/strike())/stdDeviation() + muSigma(); |
205 | 0 | Real N1 = f_(eta*y1); |
206 | 0 | Real N2 = f_(eta*(y1-stdDeviation())); |
207 | | // when N1 or N2 are zero, the corresponding powHS might |
208 | | // be infinity, resulting in a NaN for their products. The limit should be 0. |
209 | 0 | return phi*(underlying() * dividendDiscount() * (N1 == 0.0 ? Real(0.0) : Real(powHS1 * N1)) |
210 | 0 | - strike() * riskFreeDiscount() * (N2 == 0.0 ? Real(0.0) : Real(powHS0 * N2))); |
211 | 0 | } |
212 | | |
213 | 0 | Real AnalyticBarrierEngine::D(Real eta, Real phi) const { |
214 | 0 | Real HS = barrier()/underlying(); |
215 | 0 | Real powHS0 = std::pow(HS, 2 * mu()); |
216 | 0 | Real powHS1 = powHS0 * HS * HS; |
217 | 0 | Real y2 = std::log(barrier()/underlying())/stdDeviation() + muSigma(); |
218 | 0 | Real N1 = f_(eta*y2); |
219 | 0 | Real N2 = f_(eta*(y2-stdDeviation())); |
220 | | // when N1 or N2 are zero, the corresponding powHS might |
221 | | // be infinity, resulting in a NaN for their products. The limit should be 0. |
222 | 0 | return phi*(underlying() * dividendDiscount() * (N1 == 0.0 ? Real(0.0) : Real(powHS1 * N1)) |
223 | 0 | - strike() * riskFreeDiscount() * (N2 == 0.0 ? Real(0.0) : Real(powHS0 * N2))); |
224 | 0 | } |
225 | | |
226 | 0 | Real AnalyticBarrierEngine::E(Real eta) const { |
227 | 0 | if (rebate() > 0) { |
228 | 0 | Real powHS0 = std::pow(barrier()/underlying(), 2 * mu()); |
229 | 0 | Real x2 = |
230 | 0 | std::log(underlying()/barrier())/stdDeviation() + muSigma(); |
231 | 0 | Real y2 = |
232 | 0 | std::log(barrier()/underlying())/stdDeviation() + muSigma(); |
233 | 0 | Real N1 = f_(eta*(x2 - stdDeviation())); |
234 | 0 | Real N2 = f_(eta*(y2 - stdDeviation())); |
235 | | // when N2 is zero, powHS0 might be infinity, resulting in |
236 | | // a NaN for their product. The limit should be 0. |
237 | 0 | return rebate() * riskFreeDiscount() * (N1 - (N2 == 0.0 ? Real(0.0) : Real(powHS0 * N2))); |
238 | 0 | } else { |
239 | 0 | return 0.0; |
240 | 0 | } |
241 | 0 | } |
242 | | |
243 | 0 | Real AnalyticBarrierEngine::F(Real eta) const { |
244 | 0 | if (rebate() > 0) { |
245 | 0 | Rate m = mu(); |
246 | 0 | Volatility vol = volatility(); |
247 | 0 | Real lambda = std::sqrt(m*m + 2.0*riskFreeRate()/(vol * vol)); |
248 | 0 | Real HS = barrier()/underlying(); |
249 | 0 | Real powHSplus = std::pow(HS, m + lambda); |
250 | 0 | Real powHSminus = std::pow(HS, m - lambda); |
251 | |
|
252 | 0 | Real sigmaSqrtT = stdDeviation(); |
253 | 0 | Real z = std::log(barrier()/underlying())/sigmaSqrtT |
254 | 0 | + lambda * sigmaSqrtT; |
255 | |
|
256 | 0 | Real N1 = f_(eta * z); |
257 | 0 | Real N2 = f_(eta * (z - 2.0 * lambda * sigmaSqrtT)); |
258 | | // when N1 or N2 are zero, the corresponding powHS might |
259 | | // be infinity, resulting in a NaN for their product. The limit should be 0. |
260 | 0 | return rebate() * ((N1 == 0.0 ? Real(0.0) : Real(powHSplus * N1)) + (N2 == 0.0 ? Real(0.0) : Real(powHSminus * N2))); |
261 | 0 | } else { |
262 | 0 | return 0.0; |
263 | 0 | } |
264 | 0 | } |
265 | | |
266 | | } |