fdcirvanillaengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2020 Lew Wei Hao
 
 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.
*/
 
/*! \file fdcirvanillaengine.hpp
    \brief Finite-differences CIR vanilla option engine
*/
 
#ifndef quantlib_fd_cir_vanilla_engine_hpp
#define quantlib_fd_cir_vanilla_engine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/processes/coxingersollrossprocess.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
 
namespace QuantLib {
 
    class FdmQuantoHelper;
 
    //! Finite-differences CIR vanilla option engine
    /*! \ingroup vanillaengines
 
        \test the engine has been tested to converge among different schemes.
    */
    class FdCIRVanillaEngine : public VanillaOption::engine {
      public:
        FdCIRVanillaEngine(ext::shared_ptr<CoxIngersollRossProcess> cirProcess,
                           ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,
                           Size tGrid,
                           Size xGrid,
                           Size vGrid,
                           Size dampingSteps,
                           Real rho,
                           const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
                           ext::shared_ptr<FdmQuantoHelper> quantoHelper = {});
 
        FdCIRVanillaEngine(ext::shared_ptr<CoxIngersollRossProcess> cirProcess,
                           ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,
                           DividendSchedule dividends,
                           Size tGrid,
                           Size xGrid,
                           Size vGrid,
                           Size dampingSteps,
                           Real rho,
                           const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
                           ext::shared_ptr<FdmQuantoHelper> quantoHelper = {});
 
        void calculate() const override;
 
        FdmSolverDesc getSolverDesc(Real equityScaleFactor) const;
 
      private:
        ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_;
        ext::shared_ptr<CoxIngersollRossProcess> cirProcess_;
        ext::shared_ptr<FdmQuantoHelper> quantoHelper_;
        DividendSchedule dividends_;
        const Size tGrid_, xGrid_, rGrid_, dampingSteps_;
        const Real rho_;
        const FdmSchemeDesc schemeDesc_;
    };
 
    class MakeFdCIRVanillaEngine {
      public:
        explicit MakeFdCIRVanillaEngine(ext::shared_ptr<CoxIngersollRossProcess> cirProcess,
                                        ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,
                                        Real rho);
 
        MakeFdCIRVanillaEngine& withQuantoHelper(
            const ext::shared_ptr<FdmQuantoHelper>& quantoHelper);
 
        MakeFdCIRVanillaEngine& withTGrid(Size tGrid);
        MakeFdCIRVanillaEngine& withXGrid(Size xGrid);
        MakeFdCIRVanillaEngine& withRGrid(Size rGrid);
        MakeFdCIRVanillaEngine& withDampingSteps(
            Size dampingSteps);
 
        MakeFdCIRVanillaEngine& withFdmSchemeDesc(
            const FdmSchemeDesc& schemeDesc);
 
        MakeFdCIRVanillaEngine& withCashDividends(
            const std::vector<Date>& dividendDates,
            const std::vector<Real>& dividendAmounts);
 
        operator ext::shared_ptr<PricingEngine>() const;
 
      private:
        ext::shared_ptr<CoxIngersollRossProcess> cirProcess_;
        ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_;
        DividendSchedule dividends_;
        const Real rho_;
        Size tGrid_ = 10, xGrid_ = 100, rGrid_ = 100, dampingSteps_ = 0;
        ext::shared_ptr<FdmSchemeDesc> schemeDesc_;
        ext::shared_ptr<FdmQuantoHelper> quantoHelper_;
    };
}
 
#endif