CommodityAveragePriceOptionBaseEngine Class Reference

#include <qle/pricingengines/commodityapoengine.hpp>

Inheritance diagram for CommodityAveragePriceOptionBaseEngine:

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Public Member Functions
	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)

Protected Member Functions
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
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_
QuantLib::Handle< QuantLib::BlackVolTermStructure >	volStructure_
QuantLib::Real	beta_
QuantLib::Real	logBarrier_

Detailed Description

Commodity APO Engine base class Correlation is parametrized as \(\rho(s, t) = \exp(-\beta * \abs(s - t))\) where \(s\) and \(t\) are times to futures expiry.

Definition at line 75 of file commodityapoengine.hpp.

Constructor & Destructor Documentation

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 152 of file commodityapoengine.cpp.

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

Member Function Documentation

rho()

Real rho ( const QuantLib::Date &  ed_1, const QuantLib::Date &  ed_2  ) const

protected

Return the correlation between two future expiry dates ed_1 and ed_2.

Definition at line 161 of file commodityapoengine.cpp.

                                                                                        {
    if (beta_ == 0.0 || ed_1 == ed_2) {
        return 1.0;
    } else {
        Time t_1 = volStructure_->timeFromReference(ed_1);
        Time t_2 = volStructure_->timeFromReference(ed_2);
        return exp(-beta_ * fabs(t_2 - t_1));
    }
}

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isModelDependent()

bool isModelDependent ( ) const

protected

In certain cases, the APO value is not model dependent. This method returns true if the APO value is model dependent. If the APO value is not model dependent, this method returns false and populates the results with the model independent value.

Definition at line 171 of file commodityapoengine.cpp.

                                                                   {
 
    // Discount factor to the APO payment date
    Real discount = discountCurve_->discount(arguments_.flow->date());
 
    // Valuation date
    Date today = Settings::instance().evaluationDate();
 
    // If all pricing dates are on or before today. This can happen when the APO payment date is a positive number
    // of days after the final APO pricing date and today is in between.
    if (today >= arguments_.flow->indices().rbegin()->first) {
 
        // Put call indicator
        Real omega = arguments_.type == Option::Call ? 1.0 : -1.0;
 
        // Populate the result value
        Real payoff = arguments_.flow->gearing() * max(omega * (arguments_.accrued - arguments_.effectiveStrike), 0.0);
        results_.value = arguments_.quantity * payoff * discount;
 
        return false;
    }
 
    // If a portion of the average price has already accrued, the effective strike of the APO will
    // have changed by the accrued amount. The strike could be non-positive.
    Real effectiveStrike = arguments_.effectiveStrike - arguments_.accrued;
    if (effectiveStrike <= 0.0) {
 
        // If the effective strike is <= 0, put payoff is 0.0 and call payoff is [A - K]
        if (arguments_.type == Option::Call) {
            results_.value = (arguments_.flow->amount() - arguments_.quantity * arguments_.strikePrice) * discount;
        } else {
            results_.value = 0.0;
        }
 
        return false;
    }
 
    // If we get to here, value is model dependent except the option was knocked out
 
    bool barrierTriggered = false;
    Real lastFixing = 0.0;
 
    for (const auto& kv : arguments_.flow->indices()) {
        // Break on the first pricing date that is greater than today
        if (today < kv.first) {
            break;
        }
        // Update accrued where pricing date is on or before today
        Real fxRate{1.};
        if(arguments_.fxIndex)
            fxRate=arguments_.fxIndex->fixing(kv.first);
        lastFixing = fxRate*kv.second->fixing(kv.first);
        if (arguments_.barrierStyle == Exercise::American)
            barrierTriggered = barrierTriggered || this->barrierTriggered(lastFixing, false);
    }
 
    if (arguments_.barrierStyle == Exercise::European)
        barrierTriggered = this->barrierTriggered(lastFixing, false);
 
    if(barrierTriggered && (arguments_.barrierType == Barrier::DownOut || arguments_.barrierType == Barrier::UpOut)) {
        results_.value = 0.0;
        return false;
    }
 
    return true;
}

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barrierTriggered()

bool barrierTriggered ( const Real  price, const bool  logPrice  ) const

protected

Check barriers on given (log-)price

Definition at line 238 of file commodityapoengine.cpp.

                                                                                                        {
    if (arguments_.barrierLevel == Null<Real>())
        return false;
    Real tmp = logPrice ? logBarrier_ : arguments_.barrierLevel;
    if (arguments_.barrierType == Barrier::DownIn || arguments_.barrierType == Barrier::DownOut)
        return price <= tmp;
    else if (arguments_.barrierType == Barrier::UpIn || arguments_.barrierType == Barrier::UpOut)
        return price >= tmp;
    return false;
}

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alive()

bool alive ( const bool  barrierTriggered ) const

protected

Check whether option is alive depending on whether barrier was triggered

Definition at line 249 of file commodityapoengine.cpp.

                                                                                   {
    if (arguments_.barrierLevel == Null<Real>())
        return true;
    return ((arguments_.barrierType == Barrier::DownIn || arguments_.barrierType == Barrier::UpIn) &&
            barrierTriggered) ||
           ((arguments_.barrierType == Barrier::DownOut || arguments_.barrierType == Barrier::UpOut) &&
            !barrierTriggered);
}

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Member Data Documentation

discountCurve_

QuantLib::Handle<QuantLib::YieldTermStructure> discountCurve_

protected

Definition at line 102 of file commodityapoengine.hpp.

volStructure_

QuantLib::Handle<QuantLib::BlackVolTermStructure> volStructure_

protected

Definition at line 103 of file commodityapoengine.hpp.

beta_

QuantLib::Real beta_

protected

Definition at line 104 of file commodityapoengine.hpp.

logBarrier_

QuantLib::Real logBarrier_

mutableprotected

Definition at line 106 of file commodityapoengine.hpp.