22#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
23#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
24#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
25#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
26#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.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/fdhestonrebateengine.hpp>
35 QL_DEPRECATED_DISABLE_WARNING
43 ext::shared_ptr<LocalVolTermStructure> leverageFct,
44 const Real mixingFactor)
48 explicitDividends_(false), tGrid_(tGrid), xGrid_(xGrid), vGrid_(vGrid), dampingSteps_(dampingSteps),
49 schemeDesc_(schemeDesc), leverageFct_(
std::move(leverageFct)), mixingFactor_(mixingFactor) {}
58 ext::shared_ptr<LocalVolTermStructure> leverageFct,
59 const Real mixingFactor)
63 dividends_(
std::move(dividends)), explicitDividends_(true),
64 tGrid_(tGrid), xGrid_(xGrid), vGrid_(vGrid), dampingSteps_(dampingSteps),
65 schemeDesc_(schemeDesc), leverageFct_(
std::move(leverageFct)), mixingFactor_(mixingFactor) {}
67 QL_DEPRECATED_ENABLE_WARNING
72 QL_DEPRECATED_DISABLE_WARNING
74 QL_DEPRECATED_ENABLE_WARNING
77 const ext::shared_ptr<HestonProcess>& process =
model_->process();
78 const Time maturity = process->time(
arguments_.exercise->lastDate());
81 const Size tGridMin = 5;
82 const Size tGridAvgSteps = std::max(tGridMin,
tGrid_/50);
84 const ext::shared_ptr<FdmHestonLocalVolatilityVarianceMesher> vMesher
85 = ext::make_shared<FdmHestonLocalVolatilityVarianceMesher>(
89 const ext::shared_ptr<StrikedTypePayoff> payoff =
90 ext::dynamic_pointer_cast<StrikedTypePayoff>(
arguments_.payoff);
103 const ext::shared_ptr<Fdm1dMesher> equityMesher(
107 process->s0(), process->dividendYield(),
108 process->riskFreeRate(), vMesher->volaEstimate()),
109 maturity, payoff->strike(),
110 xMin, xMax, 0.0001, 1.5,
114 const ext::shared_ptr<FdmMesher> mesher (
118 const ext::shared_ptr<StrikedTypePayoff> rebatePayoff(
120 const ext::shared_ptr<FdmInnerValueCalculator> calculator(
125 "only european style option are supported");
127 const ext::shared_ptr<FdmStepConditionComposite> conditions =
131 process->riskFreeRate()->referenceDate(),
132 process->riskFreeRate()->dayCounter());
138 boundaries.push_back(FdmBoundaryConditionSet::value_type(
145 boundaries.push_back(FdmBoundaryConditionSet::value_type(
152 calculator, maturity,
159 const Real spot = process->s0()->value();
160 results_.value = solver->valueAt(spot, process->v0());
161 results_.delta = solver->deltaAt(spot, process->v0());
162 results_.gamma = solver->gammaAt(spot, process->v0());
163 results_.theta = solver->thetaAt(spot, process->v0());
Binary cash-or-nothing payoff.
Single-asset barrier option with discrete dividends.
FdHestonRebateEngine(const ext::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)
void calculate() const override
const ext::shared_ptr< LocalVolTermStructure > leverageFct_
DividendSchedule dividends_
const FdmSchemeDesc schemeDesc_
static ext::shared_ptr< GeneralizedBlackScholesProcess > processHelper(const Handle< Quote > &s0, const Handle< YieldTermStructure > &rTS, const Handle< YieldTermStructure > &qTS, Volatility vol)
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)
Base class for some pricing engine on a particular model.
Handle< HestonModel > model_
Shared handle to an observable.
Heston model for the stochastic volatility of an asset.
template class providing a null value for a given type.
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