fftengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
Copyright (C) 2010 Adrian O' Neill
 
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.
*/
 
#ifndef quantlib_fft_engine_hpp
#define quantlib_fft_engine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <ql/stochasticprocess.hpp>
#include <complex>
 
namespace QuantLib {
 
 
    class FFTEngine :
        public VanillaOption::engine {
      public:
        FFTEngine(ext::shared_ptr<StochasticProcess1D> process, Real logStrikeSpacing);
        void calculate() const override;
        void update() override;
 
        void precalculate(const std::vector<ext::shared_ptr<Instrument> >& optionList);
        virtual std::unique_ptr<FFTEngine> clone() const = 0;
      protected:
        virtual void precalculateExpiry(Date d) = 0;
        virtual std::complex<Real> complexFourierTransform(std::complex<Real> u) const = 0;
        virtual Real discountFactor(Date d) const = 0;
        virtual Real dividendYield(Date d) const = 0;
        void calculateUncached(const ext::shared_ptr<StrikedTypePayoff>& payoff,
                               const ext::shared_ptr<Exercise>& exercise) const;
 
        ext::shared_ptr<StochasticProcess1D> process_;
        Real lambda_;   // Log strike spacing
 
      private:
        typedef std::map<ext::shared_ptr<StrikedTypePayoff>, Real> PayoffResultMap;
        typedef std::map<Date, PayoffResultMap> ResultMap;
        ResultMap resultMap_;
    };
 
}
 
 
#endif