fd2dblackscholesvanillaengine.cpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 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.
*/
 
#include <ql/exercise.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>
 
namespace QuantLib {
 
    Fd2dBlackScholesVanillaEngine::Fd2dBlackScholesVanillaEngine(
        const ext::shared_ptr<GeneralizedBlackScholesProcess>& p1,
        const ext::shared_ptr<GeneralizedBlackScholesProcess>& p2,
        Real correlation,
        Size xGrid, Size yGrid,
        Size tGrid, Size dampingSteps,
        const FdmSchemeDesc& schemeDesc,
        bool localVol,
        Real illegalLocalVolOverwrite)
    : p1_(p1),
      p2_(p2),
      correlation_(correlation),
      xGrid_(xGrid), yGrid_(yGrid), tGrid_(tGrid),
      dampingSteps_(dampingSteps),
      schemeDesc_(schemeDesc),
      localVol_(localVol),
      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
        registerWith(p1);
        registerWith(p2);
    }
 
    void Fd2dBlackScholesVanillaEngine::calculate() const {
        // 1. Payoff
        const ext::shared_ptr<BasketPayoff> payoff =
            ext::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
 
        // 2. Mesher
        const Time maturity = p1_->time(arguments_.exercise->lastDate());
        const ext::shared_ptr<Fdm1dMesher> em1(
            new FdmBlackScholesMesher(
                    xGrid_, p1_, maturity, p1_->x0(), 
                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                    std::pair<Real, Real>(p1_->x0(), 0.1)));
 
        const ext::shared_ptr<Fdm1dMesher> em2(
            new FdmBlackScholesMesher(
                    yGrid_, p2_, maturity, p2_->x0(),
                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                    std::pair<Real, Real>(p2_->x0(), 0.1)));
 
        const ext::shared_ptr<FdmMesher> mesher (
            new FdmMesherComposite(em1, em2));
 
        // 3. Calculator
        const ext::shared_ptr<FdmInnerValueCalculator> calculator(
                                new FdmLogBasketInnerValue(payoff, mesher));
 
        // 4. Step conditions
        const ext::shared_ptr<FdmStepConditionComposite> conditions =
            FdmStepConditionComposite::vanillaComposite(
                                    DividendSchedule(), arguments_.exercise, 
                                    mesher, calculator, 
                                    p1_->riskFreeRate()->referenceDate(),
                                    p1_->riskFreeRate()->dayCounter());
 
        // 5. Boundary conditions
        const FdmBoundaryConditionSet boundaries;
 
        // 6. Solver
        const FdmSolverDesc solverDesc = { mesher, boundaries,
                                           conditions, calculator,
                                           maturity, tGrid_, dampingSteps_ };
 
        ext::shared_ptr<Fdm2dBlackScholesSolver> solver(
                new Fdm2dBlackScholesSolver(
                             Handle<GeneralizedBlackScholesProcess>(p1_),
                             Handle<GeneralizedBlackScholesProcess>(p2_),
                             correlation_, solverDesc, schemeDesc_,
                             localVol_, illegalLocalVolOverwrite_));
 
        const Real x = p1_->x0();
        const Real y = p2_->x0();
 
        results_.value = solver->valueAt(x, y);
        results_.delta = solver->deltaXat(x, y) + solver->deltaYat(x, y);
        results_.gamma = solver->gammaXat(x, y) + solver->gammaYat(x, y)
             + 2*solver->gammaXYat(x, y);
        results_.theta = solver->thetaAt(x, y);
    }
}