CommodityAveragePriceOptionAnalyticalEngine Class Reference

#include <qle/pricingengines/commodityapoengine.hpp>

Inheritance diagram for CommodityAveragePriceOptionAnalyticalEngine:

Collaboration diagram for CommodityAveragePriceOptionAnalyticalEngine:

Public Member Functions
void	calculate () const override
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &model, QuantLib::Real beta=0.0)
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, QuantLib::Real beta=0.0)
Public Member Functions inherited from CommodityAveragePriceOptionBaseEngine
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &model, QuantLib::Real beta=0.0)
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, QuantLib::Real beta=0.0)

Additional Inherited Members
Protected Member Functions inherited from CommodityAveragePriceOptionBaseEngine
QuantLib::Real	rho (const QuantLib::Date &ed_1, const QuantLib::Date &ed_2) const
	Return the correlation between two future expiry dates ed_1 and ed_2. More...
bool	isModelDependent () const
bool	barrierTriggered (const Real price, const bool logPrice) const
bool	alive (const bool barrierTriggered) const
Protected Attributes inherited from CommodityAveragePriceOptionBaseEngine
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_
QuantLib::Handle< QuantLib::BlackVolTermStructure >	volStructure_
QuantLib::Real	beta_
QuantLib::Real	logBarrier_

Detailed Description

Commodity APO Analytical Engine Analytical pricing based on the two-moment Turnbull-Wakeman approximation. Reference: Iain Clark, Commodity Option Pricing, Wiley, section 2.7.4 See also the documentation in the ORE+ product catalogue.

Definition at line 114 of file commodityapoengine.hpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 258 of file commodityapoengine.cpp.

                                                                  {
 
    QL_REQUIRE(arguments_.barrierLevel == Null<Real>(),
               "CommodityAveragePriceOptionAnalyticalEngine does not support barrier feature. Use MC engine instead.");
 
    // Populate some additional results that don't change
    auto& mp = results_.additionalResults;
    Real discount = discountCurve_->discount(arguments_.flow->date());
    mp["gearing"] = arguments_.flow->gearing();
    mp["spread"] = arguments_.flow->spread();
    mp["strike"] = arguments_.strikePrice;
    mp["payment_date"] = arguments_.flow->date();
    mp["accrued"] = arguments_.accrued;
    mp["discount"] = discount;
    if(arguments_.fxIndex)
        mp["FXIndex"] = arguments_.fxIndex->name();
 
    // If not model dependent, return early.
    if (!isModelDependent()) {
        mp["effective_strike"] = arguments_.effectiveStrike;
        mp["npv"] = results_.value;
        return;
    }
 
    // We will read the volatility off the surface at the effective strike
    // We should only get this far when the effectiveStrike > 0 but will check anyway
    Real effectiveStrike = arguments_.effectiveStrike - arguments_.accrued;
    QL_REQUIRE(effectiveStrike > 0.0, "calculateSpot: expected effectiveStrike to be positive");
 
    // Valuation date
    
    auto matchedMoments = CommodityAveragePriceOptionMomementMatching::matchFirstTwoMomentsTurnbullWakeman(
        arguments_.flow, *volStructure_,
        std::bind(&CommodityAveragePriceOptionAnalyticalEngine::rho, this, std::placeholders::_1, std
                  ::placeholders::_2), effectiveStrike);
     
    if (arguments_.flow->useFuturePrice()) {
        mp["futureVols"] = matchedMoments.futureVols;
    } else {
        mp["spotVols"] = matchedMoments.spotVols;
    }
 
    // Populate results
    results_.value = arguments_.quantity * arguments_.flow->gearing() *
                         blackFormula(arguments_.type, effectiveStrike, matchedMoments.firstMoment(),
                                      matchedMoments.stdDev(), discount);
 
    // Add more additional results
    // Could be part of a strip so we add the value also.
    mp["effective_strike"] = effectiveStrike;
    mp["forward"] = matchedMoments.forward;
    mp["exp_A_2"] = matchedMoments.EA2;
    mp["tte"] = matchedMoments.timeToExpriy();
    mp["sigma"] = matchedMoments.sigma;
    mp["npv"] = results_.value;
    mp["times"] = matchedMoments.times;
    mp["forwards"] = matchedMoments.forwards;
    mp["beta"] = beta_;
}

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CommodityAveragePriceOptionBaseEngine() [1/2]

CommodityAveragePriceOptionBaseEngine	(	const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve,
		const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &	model,
		QuantLib::Real	beta = 0.0
	)

CommodityAveragePriceOptionBaseEngine() [2/2]

CommodityAveragePriceOptionBaseEngine	(	const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve,
		const QuantLib::Handle< QuantLib::BlackVolTermStructure > &	vol,
		QuantLib::Real	beta = 0.0
	)

Definition at line 82 of file commodityapoengine.cpp.

    : discountCurve_(discountCurve), volStructure_(vol), beta_(beta) {
    QL_REQUIRE(beta_ >= 0.0, "beta >= 0 required, found " << beta_);
    registerWith(discountCurve_);
    registerWith(volStructure_);
}