/usr/include/ql/pricingengines/quanto/quantoengine.hpp is in libquantlib0-dev 1.7.1-1.
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/*
Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia srl
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 quantoengine.hpp
\brief Quanto option engine
*/
#ifndef quantlib_quanto_engine_hpp
#define quantlib_quanto_engine_hpp
#include <ql/instruments/quantovanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/yield/quantotermstructure.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
//! Quanto engine
/*! \warning for the time being, this engine will only work with
simple Black-Scholes processes (i.e., no Merton.)
\ingroup quantoengines
\test
- the correctness of the returned value is tested by
reproducing results available in literature.
- the correctness of the returned greeks is tested by
reproducing numerical derivatives.
*/
template <class Instr, class Engine>
class QuantoEngine :
public GenericEngine<typename Instr::arguments,
QuantoOptionResults<typename Instr::results> > {
public:
QuantoEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
const Handle<YieldTermStructure>& foreignRiskFreeRate,
const Handle<BlackVolTermStructure>& exchangeRateVolatility,
const Handle<Quote>& correlation);
void calculate() const;
protected:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
Handle<YieldTermStructure> foreignRiskFreeRate_;
Handle<BlackVolTermStructure> exchangeRateVolatility_;
Handle<Quote> correlation_;
};
// template definitions
template <class Instr, class Engine>
QuantoEngine<Instr,Engine>::QuantoEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
const Handle<YieldTermStructure>& foreignRiskFreeRate,
const Handle<BlackVolTermStructure>& exchangeRateVolatility,
const Handle<Quote>& correlation)
: process_(process), foreignRiskFreeRate_(foreignRiskFreeRate),
exchangeRateVolatility_(exchangeRateVolatility),
correlation_(correlation) {
this->registerWith(process_);
this->registerWith(foreignRiskFreeRate_);
this->registerWith(exchangeRateVolatility_);
this->registerWith(correlation_);
}
template <class Instr, class Engine>
void QuantoEngine<Instr,Engine>::calculate() const {
// ATM exchangeRate level needed here
Real exchangeRateATMlevel = 1.0;
// determine strike from payoff
boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(
this->arguments_.payoff);
QL_REQUIRE(payoff, "non-striked payoff given");
Real strike = payoff->strike();
Handle<Quote> spot = process_->stateVariable();
QL_REQUIRE(spot->value() > 0.0, "negative or null underlying");
Handle<YieldTermStructure> riskFreeRate = process_->riskFreeRate();
// dividendTS needs modification
Handle<YieldTermStructure> dividendYield(
boost::shared_ptr<YieldTermStructure>(
new QuantoTermStructure(process_->dividendYield(),
process_->riskFreeRate(),
foreignRiskFreeRate_,
process_->blackVolatility(),
strike,
exchangeRateVolatility_,
exchangeRateATMlevel,
correlation_->value())));
Handle<BlackVolTermStructure> blackVol = process_->blackVolatility();
boost::shared_ptr<GeneralizedBlackScholesProcess> quantoProcess(
new GeneralizedBlackScholesProcess(spot, dividendYield,
riskFreeRate, blackVol));
boost::shared_ptr<Engine> originalEngine(new Engine(quantoProcess));
originalEngine->reset();
typename Instr::arguments* originalArguments =
dynamic_cast<typename Instr::arguments*>(
originalEngine->getArguments());
QL_REQUIRE(originalArguments, "wrong engine type");
*originalArguments = this->arguments_;
originalArguments->validate();
originalEngine->calculate();
const typename Instr::results* originalResults =
dynamic_cast<const typename Instr::results*>(
originalEngine->getResults());
QL_REQUIRE(originalResults, "wrong engine type");
this->results_.value = originalResults->value;
this->results_.delta = originalResults->delta;
this->results_.gamma = originalResults->gamma;
this->results_.theta = originalResults->theta;
if (originalResults->rho != Null<Real>() &&
originalResults->dividendRho != Null<Real>()) {
this->results_.rho = originalResults->rho +
originalResults->dividendRho;
this->results_.dividendRho = originalResults->dividendRho;
} else {
this->results_.rho = this->results_.dividendRho = Null<Real>();
}
Volatility exchangeRateFlatVol =
exchangeRateVolatility_->blackVol(
this->arguments_.exercise->lastDate(),
exchangeRateATMlevel);
if (originalResults->vega != Null<Real>()
&& originalResults->dividendRho != Null<Real>()) {
this->results_.vega = originalResults->vega +
correlation_->value() * exchangeRateFlatVol *
originalResults->dividendRho;
} else {
this->results_.vega = Null<Real>();
}
if (originalResults->dividendRho != Null<Real>()) {
Volatility volatility = process_->blackVolatility()->blackVol(
this->arguments_.exercise->lastDate(),
process_->stateVariable()->value());
this->results_.qvega = correlation_->value() *
process_->blackVolatility()->blackVol(
this->arguments_.exercise->lastDate(),
process_->stateVariable()->value()) *
originalResults->dividendRho;
this->results_.qrho = - originalResults->dividendRho;
this->results_.qlambda = exchangeRateFlatVol *
volatility * originalResults->dividendRho;
} else {
this->results_.qvega = this->results_.qrho =
this->results_.qlambda = Null<Real>();
}
}
}
#endif
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