fdsimpleextoujumpswingengine.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2011 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/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
 
namespace QuantLib {
 
    FdSimpleExtOUJumpSwingEngine::FdSimpleExtOUJumpSwingEngine(
        ext::shared_ptr<ExtOUWithJumpsProcess> process,
        ext::shared_ptr<YieldTermStructure> rTS,
        Size tGrid,
        Size xGrid,
        Size yGrid,
        ext::shared_ptr<Shape> shape,
        const FdmSchemeDesc& schemeDesc)
    : process_(std::move(process)), rTS_(std::move(rTS)), shape_(std::move(shape)), tGrid_(tGrid),
      xGrid_(xGrid), yGrid_(yGrid), schemeDesc_(schemeDesc) {}
 
    void FdSimpleExtOUJumpSwingEngine::calculate() const {
 
        // 1. Exercise
        ext::shared_ptr<SwingExercise> swingExercise(
            ext::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
 
        QL_REQUIRE(swingExercise, "Swing exercise supported only");
 
        // 2. Mesher
        const std::vector<Time> exerciseTimes
            = swingExercise->exerciseTimes(rTS_->dayCounter(),
                                           rTS_->referenceDate());
 
        const Time maturity = exerciseTimes.back();
        const ext::shared_ptr<StochasticProcess1D> ouProcess(
                              process_->getExtendedOrnsteinUhlenbeckProcess());
        const ext::shared_ptr<Fdm1dMesher> xMesher(
                     new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
 
        const ext::shared_ptr<Fdm1dMesher> yMesher(
                        new ExponentialJump1dMesher(yGrid_,
                                                    process_->beta(),
                                                    process_->jumpIntensity(),
                                                    process_->eta()));
        const ext::shared_ptr<Fdm1dMesher> exerciseMesher(
                       new Uniform1dMesher(
                           0, static_cast<Real>(arguments_.maxExerciseRights),
                           arguments_.maxExerciseRights+1));
 
        const ext::shared_ptr<FdmMesher> mesher(
            new FdmMesherComposite(xMesher, yMesher, exerciseMesher));
 
        // 3. Calculator
        ext::shared_ptr<FdmInnerValueCalculator> calculator(
                                                    new FdmZeroInnerValue());
        // 4. Step conditions
        std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;
        std::list<std::vector<Time> > stoppingTimes;
 
        // 4.1 Bermudan step conditions
        stoppingTimes.push_back(exerciseTimes);
 
        ext::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
            new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher, shape_));
 
        stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(
            new FdmSimpleSwingCondition(
                exerciseTimes, mesher, exerciseCalculator,
                2, arguments_.minExerciseRights)));
 
        ext::shared_ptr<FdmStepConditionComposite> conditions(
                new FdmStepConditionComposite(stoppingTimes, stepConditions));
 
 
        // 5. Boundary conditions
        const FdmBoundaryConditionSet boundaries;
 
        // 6. set-up solver
        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
                                     calculator, maturity, tGrid_, 0 };
 
        const ext::shared_ptr<FdmSimple3dExtOUJumpSolver> solver(
            new FdmSimple3dExtOUJumpSolver(
                                    Handle<ExtOUWithJumpsProcess>(process_),
                                    rTS_, solverDesc, schemeDesc_));
 
        const Real x = process_->initialValues()[0];
        const Real y = process_->initialValues()[1];
 
        results_.value = solver->valueAt(x, y, 0.0);
    }
}