hestonexpansionengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 Fabien Le Floc'h
 
 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_heston_expansion_engine_hpp
#define quantlib_heston_expansion_engine_hpp
 
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
 
namespace QuantLib {
 
 
    class HestonExpansionEngine
        : public GenericModelEngine<HestonModel,
                                    VanillaOption::arguments,
                                    VanillaOption::results> {
      public:
        enum HestonExpansionFormula { LPP2, LPP3, Forde };
 
        HestonExpansionEngine(const ext::shared_ptr<HestonModel>& model,
                              HestonExpansionFormula formula);
 
        void calculate() const override;
 
      private:
        const HestonExpansionFormula formula_;
    };
 
    class HestonExpansion {
      public:
        virtual ~HestonExpansion() = default;
        virtual Real impliedVolatility(Real strike, Real forward) const = 0;
    };
 
    class LPP2HestonExpansion : public HestonExpansion {
      public:
        LPP2HestonExpansion(Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term);
        Real impliedVolatility(Real strike, Real forward) const override;
 
      private:
        Real coeffs[3];
        Real ekt, e2kt, e3kt, e4kt;
        Real z0(Real t, Real kappa, Real theta,
                Real delta, Real y, Real rho) const;
        Real z1(Real t, Real kappa, Real theta,
                Real delta, Real y, Real rho) const;
        Real z2(Real t, Real kappa, Real theta,
                Real delta, Real y, Real rho) const;
    };
 
    class LPP3HestonExpansion : public HestonExpansion{
      public:
        LPP3HestonExpansion(Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term);
        Real impliedVolatility(Real strike, Real forward) const override;
 
      private:
        Real coeffs[4];
        Real ekt, e2kt, e3kt, e4kt;
        Real z0(Real t, Real kappa, Real theta,
                Real delta, Real y, Real rho) const;
        Real z1(Real t, Real kappa, Real theta,
                Real delta, Real y, Real rho) const;
        Real z2(Real t, Real kappa, Real theta,
                Real delta, Real y, Real rho) const;
        Real z3(Real t, Real kappa, Real theta,
                Real delta, Real y, Real rho) const;
    };
 
    class FordeHestonExpansion : public HestonExpansion {
      public:
        FordeHestonExpansion(Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term);
        Real impliedVolatility(Real strike, Real forward) const override;
 
      private:
        Real coeffs[5];
    };
 
}
 
 
#endif