fdhestonvanillaengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Andreas Gaida
 Copyright (C) 2008 Ralph Schreyer
 Copyright (C) 2008, 2009, 2014 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file fdhestonvanillaengine.hpp
    \brief Finite-differences Heston vanilla option engine
*/
 
#ifndef quantlib_fd_heston_vanilla_engine_hpp
#define quantlib_fd_heston_vanilla_engine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
 
namespace QuantLib {
 
    class FdmQuantoHelper;
 
    //! Finite-differences Heston vanilla option engine
    /*! \ingroup vanillaengines
 
        \test the correctness of the returned value is tested by
              reproducing results available in web/literature
              and comparison with Black pricing.
    */
    class FdHestonVanillaEngine
        : public GenericModelEngine<HestonModel,
                                    VanillaOption::arguments,
                                    VanillaOption::results> {
      public:
        explicit
        FdHestonVanillaEngine(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);
 
        FdHestonVanillaEngine(const ext::shared_ptr<HestonModel>& model,
                              DividendSchedule dividends,
                              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);
 
        FdHestonVanillaEngine(const ext::shared_ptr<HestonModel>& model,
                              ext::shared_ptr<FdmQuantoHelper> quantoHelper,
                              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);
 
        FdHestonVanillaEngine(const ext::shared_ptr<HestonModel>& model,
                              DividendSchedule dividends,
                              ext::shared_ptr<FdmQuantoHelper> quantoHelper,
                              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;
 
        // multiple strikes caching engine
        void update() override;
        void enableMultipleStrikesCaching(const std::vector<Real>& strikes);
 
        // helper method for Heston like engines
        FdmSolverDesc getSolverDesc(Real equityScaleFactor) const;
 
      private:
        DividendSchedule dividends_;
        const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
        const FdmSchemeDesc schemeDesc_;
        const ext::shared_ptr<LocalVolTermStructure> leverageFct_;
        const ext::shared_ptr<FdmQuantoHelper> quantoHelper_;
        const Real mixingFactor_;
 
        std::vector<Real> strikes_;
        mutable std::vector<std::pair<VanillaOption::arguments,
                                      VanillaOption::results> >
                                                            cachedArgs2results_;
    };
 
    class MakeFdHestonVanillaEngine {
      public:
        explicit MakeFdHestonVanillaEngine(ext::shared_ptr<HestonModel> hestonModel);
 
        MakeFdHestonVanillaEngine& withQuantoHelper(
            const ext::shared_ptr<FdmQuantoHelper>& quantoHelper);
 
        MakeFdHestonVanillaEngine& withTGrid(Size tGrid);
        MakeFdHestonVanillaEngine& withXGrid(Size xGrid);
        MakeFdHestonVanillaEngine& withVGrid(Size vGrid);
        MakeFdHestonVanillaEngine& withDampingSteps(
            Size dampingSteps);
 
        MakeFdHestonVanillaEngine& withFdmSchemeDesc(
            const FdmSchemeDesc& schemeDesc);
 
        MakeFdHestonVanillaEngine& withLeverageFunction(
            ext::shared_ptr<LocalVolTermStructure>& leverageFct);
 
        MakeFdHestonVanillaEngine& withCashDividends(
            const std::vector<Date>& dividendDates,
            const std::vector<Real>& dividendAmounts);
 
        operator ext::shared_ptr<PricingEngine>() const;
 
      private:
        ext::shared_ptr<HestonModel> hestonModel_;
        DividendSchedule dividends_;
        Size tGrid_ = 100, xGrid_ = 100, vGrid_ = 50, dampingSteps_ = 0;
        ext::shared_ptr<FdmSchemeDesc> schemeDesc_;
        ext::shared_ptr<LocalVolTermStructure> leverageFct_;
        ext::shared_ptr<FdmQuantoHelper> quantoHelper_;
    };
 
}
 
#endif