batesengine.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005 Klaus Spanderen
 Copyright (C) 2007 StatPro Italia srl
 
 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.
*/
 
#include <ql/pricingengines/vanilla/batesengine.hpp>
#include <ql/instruments/payoffs.hpp>
 
namespace QuantLib {
 
    BatesEngine::BatesEngine(const ext::shared_ptr<BatesModel> & model,
                             Size integrationOrder)
    : AnalyticHestonEngine(
        model, AnalyticHestonEngine::Gatheral,
        AnalyticHestonEngine::Integration::gaussLaguerre(integrationOrder)) { }
 
    BatesEngine::BatesEngine(const ext::shared_ptr<BatesModel>& model,
                             Real relTolerance, Size maxEvaluations)
    : AnalyticHestonEngine(
        model, AnalyticHestonEngine::Gatheral,
        AnalyticHestonEngine::Integration::gaussLobatto(
            relTolerance, Null<Real>(), maxEvaluations)) { }
 
    std::complex<Real> BatesEngine::addOnTerm(
                                            Real phi, Time t, Size j) const {
        
        ext::shared_ptr<BatesModel> batesModel =
                            ext::dynamic_pointer_cast<BatesModel>(*model_);
 
        const Real nu_     = batesModel->nu();
        const Real delta2_ = 0.5*batesModel->delta()*batesModel->delta();
        const Real lambda_ = batesModel->lambda();
        const Real i       = (j == 1)? 1.0 : 0.0;
        const std::complex<Real> g(i, phi);
 
        //it can throw: to be fixed
        return t*lambda_*(std::exp(nu_*g + delta2_*g*g) - 1.0
                          -g*(std::exp(nu_+delta2_) - 1.0));
    }
 
 
    BatesDetJumpEngine::BatesDetJumpEngine(
        const ext::shared_ptr<BatesDetJumpModel>& model,
        Size integrationOrder)
    : BatesEngine(model, integrationOrder) { }
 
    BatesDetJumpEngine::BatesDetJumpEngine(
        const ext::shared_ptr<BatesDetJumpModel>& model,
        Real relTolerance, Size maxEvaluations)
    : BatesEngine(model, relTolerance, maxEvaluations) { }
 
    std::complex<Real> BatesDetJumpEngine::addOnTerm(
        Real phi, Time t, Size j) const {
 
        const std::complex<Real> l =
            BatesEngine::addOnTerm(phi, t, j);
 
        ext::shared_ptr<BatesDetJumpModel> batesDetJumpModel =
            ext::dynamic_pointer_cast<BatesDetJumpModel>(*model_);
 
        const Real lambda      = batesDetJumpModel->lambda();
        const Real kappaLambda = batesDetJumpModel->kappaLambda();
        const Real thetaLambda = batesDetJumpModel->thetaLambda();
 
        return (kappaLambda*t - 1.0 + std::exp(-kappaLambda*t))
            * thetaLambda*l/(kappaLambda*t*lambda)
            + (1.0 - std::exp(-kappaLambda*t))*l/(kappaLambda*t);
    }
 
 
    BatesDoubleExpEngine::BatesDoubleExpEngine(
        const ext::shared_ptr<BatesDoubleExpModel> & model,
        Size integrationOrder)
    : AnalyticHestonEngine(
        model, AnalyticHestonEngine::Gatheral,
        AnalyticHestonEngine::Integration::gaussLaguerre(integrationOrder)) { }
 
    BatesDoubleExpEngine::BatesDoubleExpEngine(
        const ext::shared_ptr<BatesDoubleExpModel>& model,
        Real relTolerance, Size maxEvaluations)
    : AnalyticHestonEngine(
        model, AnalyticHestonEngine::Gatheral,
        AnalyticHestonEngine::Integration::gaussLobatto(
            relTolerance, Null<Real>(), maxEvaluations)) { }
 
    std::complex<Real> BatesDoubleExpEngine::addOnTerm(
        Real phi, Time t, Size j) const {
        ext::shared_ptr<BatesDoubleExpModel> batesDoubleExpModel =
            ext::dynamic_pointer_cast<BatesDoubleExpModel>(*model_);
 
        const Real p_     = batesDoubleExpModel->p();
        const Real q_     = 1.0-p_;
        const Real nuDown_= batesDoubleExpModel->nuDown();
        const Real nuUp_  = batesDoubleExpModel->nuUp();
        const Real lambda_= batesDoubleExpModel->lambda();
        const Real i      = (j == 1)? 1.0 : 0.0;
        const std::complex<Real> g(i, phi);
 
        return t*lambda_*(p_/(1.0-g*nuUp_) + q_/(1.0+g*nuDown_) - 1.0
                          - g*(p_/(1-nuUp_) + q_/(1+nuDown_)-1));
    }
 
    BatesDoubleExpDetJumpEngine::BatesDoubleExpDetJumpEngine(
        const ext::shared_ptr<BatesDoubleExpDetJumpModel> & model,
        Size integrationOrder)
    : BatesDoubleExpEngine(model, integrationOrder) { }
 
    BatesDoubleExpDetJumpEngine::BatesDoubleExpDetJumpEngine(
        const ext::shared_ptr<BatesDoubleExpDetJumpModel>& model,
        Real relTolerance, Size maxEvaluations)
    : BatesDoubleExpEngine(model, relTolerance, maxEvaluations) { }
 
    std::complex<Real> BatesDoubleExpDetJumpEngine::addOnTerm(
        Real phi, Time t, Size j) const {
        const std::complex<Real> l =
            BatesDoubleExpEngine::addOnTerm(phi, t, j);
 
        ext::shared_ptr<BatesDoubleExpDetJumpModel> doubleExpDetJumpModel
            = ext::dynamic_pointer_cast<BatesDoubleExpDetJumpModel>(*model_);
 
        const Real lambda      = doubleExpDetJumpModel->lambda();
        const Real kappaLambda = doubleExpDetJumpModel->kappaLambda();
        const Real thetaLambda = doubleExpDetJumpModel->thetaLambda();
 
        return (kappaLambda*t - 1.0 + std::exp(-kappaLambda*t))
            * thetaLambda*l/(kappaLambda*t*lambda)
            + (1.0 - std::exp(-kappaLambda*t))*l/(kappaLambda*t);
    }
 
}