22#include <ql/exercise.hpp>
23#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
24#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
25#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
26#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
27#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
28#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
29#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
30#include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>
36 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
42 Real illegalLocalVolOverwrite)
43 : process_(
std::move(process)), explicitDividends_(false),
44 tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),
45 schemeDesc_(schemeDesc), localVol_(localVol),
46 illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
52 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
59 Real illegalLocalVolOverwrite)
60 : process_(
std::move(process)), dividends_(
std::move(dividends)), explicitDividends_(true),
61 tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),
62 schemeDesc_(schemeDesc), localVol_(localVol),
63 illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
71 QL_DEPRECATED_DISABLE_WARNING
73 QL_DEPRECATED_ENABLE_WARNING
76 const ext::shared_ptr<StrikedTypePayoff> payoff =
77 ext::dynamic_pointer_cast<StrikedTypePayoff>(
arguments_.payoff);
91 const ext::shared_ptr<Fdm1dMesher> equityMesher(
94 xMin, xMax, 0.0001, 1.5,
98 const ext::shared_ptr<FdmMesher> mesher (
102 const ext::shared_ptr<StrikedTypePayoff> rebatePayoff(
104 const ext::shared_ptr<FdmInnerValueCalculator> calculator(
109 "only european style option are supported");
111 const ext::shared_ptr<FdmStepConditionComposite> conditions =
115 process_->riskFreeRate()->referenceDate(),
116 process_->riskFreeRate()->dayCounter());
122 boundaries.push_back(FdmBoundaryConditionSet::value_type(
129 boundaries.push_back(FdmBoundaryConditionSet::value_type(
135 FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
138 const ext::shared_ptr<FdmBlackScholesSolver> solver(
146 results_.delta = solver->deltaAt(spot);
147 results_.gamma = solver->gammaAt(spot);
148 results_.theta = solver->thetaAt(spot);
Barrier::Type barrierType
Binary cash-or-nothing payoff.
DividendSchedule cashFlow
Real illegalLocalVolOverwrite_
FdmSchemeDesc schemeDesc_
FdBlackScholesRebateEngine(ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())
void calculate() const override
DividendSchedule dividends_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
static ext::shared_ptr< FdmStepConditionComposite > vanillaComposite(const DividendSchedule &schedule, const ext::shared_ptr< Exercise > &exercise, const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< FdmInnerValueCalculator > &calculator, const Date &refDate, const DayCounter &dayCounter)
DividendBarrierOption::results results_
DividendBarrierOption::arguments arguments_
Shared handle to an observable.
template class providing a null value for a given type.
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
OperatorTraits< FdmLinearOp >::bc_set FdmBoundaryConditionSet