/usr/include/ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp is in libquantlib0-dev 1.7.1-1.
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/*
Copyright (C) 2008 Yee Man Chan
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 mceuropeangjrgarchengine.hpp
\brief Monte Carlo GJR-GARCH-model engine for European options
*/
#ifndef quantlib_mc_european_gjrgarch_engine_hpp
#define quantlib_mc_european_gjrgarch_engine_hpp
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.hpp>
namespace QuantLib {
//! Monte Carlo GJR-GARCH-model engine for European options
/*! \ingroup vanillaengines
\test the correctness of the returned value is tested by
reproducing results available in web/literature
*/
template <class RNG = PseudoRandom, class S = Statistics>
class MCEuropeanGJRGARCHEngine
: public MCVanillaEngine<MultiVariate,RNG,S> {
public:
typedef typename MCVanillaEngine<MultiVariate,RNG,S>::path_pricer_type
path_pricer_type;
MCEuropeanGJRGARCHEngine(const boost::shared_ptr<GJRGARCHProcess>&,
Size timeSteps,
Size timeStepsPerYear,
bool antitheticVariate,
Size requiredSamples,
Real requiredTolerance,
Size maxSamples,
BigNatural seed);
protected:
boost::shared_ptr<path_pricer_type> pathPricer() const;
};
//! Monte Carlo GJR-GARCH European engine factory
template <class RNG = PseudoRandom, class S = Statistics>
class MakeMCEuropeanGJRGARCHEngine {
public:
MakeMCEuropeanGJRGARCHEngine(const boost::shared_ptr<GJRGARCHProcess>&);
// named parameters
MakeMCEuropeanGJRGARCHEngine& withSteps(Size steps);
MakeMCEuropeanGJRGARCHEngine& withStepsPerYear(Size steps);
MakeMCEuropeanGJRGARCHEngine& withSamples(Size samples);
MakeMCEuropeanGJRGARCHEngine& withAbsoluteTolerance(Real tolerance);
MakeMCEuropeanGJRGARCHEngine& withMaxSamples(Size samples);
MakeMCEuropeanGJRGARCHEngine& withSeed(BigNatural seed);
MakeMCEuropeanGJRGARCHEngine& withAntitheticVariate(bool b = true);
// conversion to pricing engine
operator boost::shared_ptr<PricingEngine>() const;
private:
boost::shared_ptr<GJRGARCHProcess> process_;
bool antithetic_;
Size steps_, stepsPerYear_, samples_, maxSamples_;
Real tolerance_;
BigNatural seed_;
};
class EuropeanGJRGARCHPathPricer : public PathPricer<MultiPath> {
public:
EuropeanGJRGARCHPathPricer(Option::Type type,
Real strike,
DiscountFactor discount);
Real operator()(const MultiPath& Multipath) const;
private:
PlainVanillaPayoff payoff_;
DiscountFactor discount_;
};
// template definitions
template <class RNG, class S>
MCEuropeanGJRGARCHEngine<RNG, S>::MCEuropeanGJRGARCHEngine(
const boost::shared_ptr<GJRGARCHProcess>& process,
Size timeSteps, Size timeStepsPerYear, bool antitheticVariate,
Size requiredSamples, Real requiredTolerance,
Size maxSamples, BigNatural seed)
: MCVanillaEngine<MultiVariate,RNG,S>(process, timeSteps, timeStepsPerYear,
false, antitheticVariate, false,
requiredSamples, requiredTolerance,
maxSamples, seed) {}
template <class RNG, class S>
boost::shared_ptr<
typename MCEuropeanGJRGARCHEngine<RNG,S>::path_pricer_type>
MCEuropeanGJRGARCHEngine<RNG,S>::pathPricer() const {
boost::shared_ptr<PlainVanillaPayoff> payoff(
boost::dynamic_pointer_cast<PlainVanillaPayoff>(
this->arguments_.payoff));
QL_REQUIRE(payoff, "non-plain payoff given");
boost::shared_ptr<GJRGARCHProcess> process =
boost::dynamic_pointer_cast<GJRGARCHProcess>(this->process_);
QL_REQUIRE(process, "GJRGARCH process required");
return boost::shared_ptr<
typename MCEuropeanGJRGARCHEngine<RNG,S>::path_pricer_type>(
new EuropeanGJRGARCHPathPricer(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(
this->timeGrid().back())));
}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>::MakeMCEuropeanGJRGARCHEngine(
const boost::shared_ptr<GJRGARCHProcess>& process)
: process_(process), antithetic_(false),
steps_(Null<Size>()), stepsPerYear_(Null<Size>()),
samples_(Null<Size>()), maxSamples_(Null<Size>()),
tolerance_(Null<Real>()), seed_(0) {}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>&
MakeMCEuropeanGJRGARCHEngine<RNG,S>::withSteps(Size steps) {
QL_REQUIRE(stepsPerYear_ == Null<Size>(),
"number of steps per year already set");
steps_ = steps;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>&
MakeMCEuropeanGJRGARCHEngine<RNG,S>::withStepsPerYear(Size steps) {
QL_REQUIRE(steps_ == Null<Size>(),
"number of steps already set");
stepsPerYear_ = steps;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>&
MakeMCEuropeanGJRGARCHEngine<RNG,S>::withSamples(Size samples) {
QL_REQUIRE(tolerance_ == Null<Real>(),
"tolerance already set");
samples_ = samples;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>&
MakeMCEuropeanGJRGARCHEngine<RNG,S>::withAbsoluteTolerance(Real tolerance) {
QL_REQUIRE(samples_ == Null<Size>(),
"number of samples already set");
QL_REQUIRE(RNG::allowsErrorEstimate,
"chosen random generator policy "
"does not allow an error estimate");
tolerance_ = tolerance;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>&
MakeMCEuropeanGJRGARCHEngine<RNG,S>::withMaxSamples(Size samples) {
maxSamples_ = samples;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>&
MakeMCEuropeanGJRGARCHEngine<RNG,S>::withSeed(BigNatural seed) {
seed_ = seed;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanGJRGARCHEngine<RNG,S>&
MakeMCEuropeanGJRGARCHEngine<RNG,S>::withAntitheticVariate(bool b) {
antithetic_ = b;
return *this;
}
template <class RNG, class S>
inline
MakeMCEuropeanGJRGARCHEngine<RNG,S>::
operator boost::shared_ptr<PricingEngine>() const {
QL_REQUIRE(steps_ != Null<Size>() || stepsPerYear_ != Null<Size>(),
"number of steps not given");
return boost::shared_ptr<PricingEngine>(
new MCEuropeanGJRGARCHEngine<RNG,S>(process_,
steps_,
stepsPerYear_,
antithetic_,
samples_, tolerance_,
maxSamples_,
seed_));
}
inline EuropeanGJRGARCHPathPricer::EuropeanGJRGARCHPathPricer(
Option::Type type,
Real strike,
DiscountFactor discount)
: payoff_(type, strike), discount_(discount) {
QL_REQUIRE(strike>=0.0,
"strike less than zero not allowed");
}
inline Real EuropeanGJRGARCHPathPricer::operator()(
const MultiPath& multiPath) const {
const Path& path = multiPath[0];
const Size n = multiPath.pathSize();
QL_REQUIRE(n>0, "the path cannot be empty");
return payoff_(path.back()) * discount_;
}
}
#endif
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