20#include <ql/exercise.hpp>
21#include <ql/math/distributions/normaldistribution.hpp>
22#include <ql/math/integrals/simpsonintegral.hpp>
23#include <ql/pricingengines/vanilla/analyticeuropeanvasicekengine.hpp>
31 return (1 - std::exp(- kappa * t )) / kappa;
34 class integrand_vasicek {
38 const Real correlation_;
43 : sigma_s_(sigma_s), sigma_r_(sigma_r), correlation_(correlation), kappa_(kappa), T_(T){}
45 Real g = g_k(T_ - u, kappa_);
46 return (sigma_s_ * sigma_s_) + (2 * correlation_ * sigma_s_ * sigma_r_ *
g) + (sigma_r_ * sigma_r_ * g * g);
53 ext::shared_ptr<GeneralizedBlackScholesProcess> blackProcess,
54 ext::shared_ptr<Vasicek> vasicekProcess,
56 : blackProcess_(
std::move(blackProcess)), vasicekProcess_(
std::move(vasicekProcess)),
57 simpsonIntegral_(new
SimpsonIntegral(1e-5, 1000)), correlation_(correlation) {
64 "not an European option");
66 ext::shared_ptr<StrikedTypePayoff> payoff =
67 ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
69 QL_REQUIRE(payoff,
"non-striked payoff given");
74 Real T =
blackProcess_->riskFreeRate()->dayCounter().yearFraction(
blackProcess_->riskFreeRate().currentLink()->referenceDate(),arguments_.exercise->lastDate());
77 Real K = payoff->strike();
84 Real upsilon = (*simpsonIntegral_)(integrand_vasicek(sigma_s, sigma_r,
correlation_, kappa, T), t, T);
85 Real d_positive = (std::log((S_t / K) / zcb) + upsilon / 2) / std::sqrt(upsilon);
86 Real d_negative = (std::log((S_t / K) / zcb) - upsilon / 2) / std::sqrt(upsilon);
87 Real n_d1 = f(epsilon * d_positive);
88 Real n_d2 = f(epsilon * d_negative);
90 results_.value = epsilon * ((S_t * n_d1) - (zcb * K * n_d2));
ext::shared_ptr< Vasicek > vasicekProcess_
void calculate() const override
ext::shared_ptr< GeneralizedBlackScholesProcess > blackProcess_
AnalyticBlackVasicekEngine(ext::shared_ptr< GeneralizedBlackScholesProcess >, ext::shared_ptr< Vasicek >, Real correlation)
Cumulative normal distribution function.
Integral of a one-dimensional function.