1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2005 Klaus Spanderen
5 Copyright (C) 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#include <ql/pricingengines/vanilla/batesengine.hpp>
22#include <ql/instruments/payoffs.hpp>
23
24namespace QuantLib {
25
26 BatesEngine::BatesEngine(const ext::shared_ptr<BatesModel> & model,
27 Size integrationOrder)
28 : AnalyticHestonEngine(model, integrationOrder) { }
29
30 BatesEngine::BatesEngine(const ext::shared_ptr<BatesModel>& model,
31 Real relTolerance, Size maxEvaluations)
32 : AnalyticHestonEngine(model, relTolerance, maxEvaluations) { }
33
34 std::complex<Real> BatesEngine::addOnTerm(
35 Real phi, Time t, Size j) const {
36
37 ext::shared_ptr<BatesModel> batesModel =
38 ext::dynamic_pointer_cast<BatesModel>(r: *model_);
39
40 const Real nu_ = batesModel->nu();
41 const Real delta2_ = 0.5*batesModel->delta()*batesModel->delta();
42 const Real lambda_ = batesModel->lambda();
43 const Real i = (j == 1)? 1.0 : 0.0;
44 const std::complex<Real> g(i, phi);
45
46 //it can throw: to be fixed
47 return t*lambda_*(std::exp(z: nu_*g + delta2_*g*g) - 1.0
48 -g*(std::exp(x: nu_+delta2_) - 1.0));
49 }
50
51
52 BatesDetJumpEngine::BatesDetJumpEngine(
53 const ext::shared_ptr<BatesDetJumpModel>& model,
54 Size integrationOrder)
55 : BatesEngine(model, integrationOrder) { }
56
57 BatesDetJumpEngine::BatesDetJumpEngine(
58 const ext::shared_ptr<BatesDetJumpModel>& model,
59 Real relTolerance, Size maxEvaluations)
60 : BatesEngine(model, relTolerance, maxEvaluations) { }
61
62 std::complex<Real> BatesDetJumpEngine::addOnTerm(
63 Real phi, Time t, Size j) const {
64
65 const std::complex<Real> l =
66 BatesEngine::addOnTerm(phi, t, j);
67
68 ext::shared_ptr<BatesDetJumpModel> batesDetJumpModel =
69 ext::dynamic_pointer_cast<BatesDetJumpModel>(r: *model_);
70
71 const Real lambda = batesDetJumpModel->lambda();
72 const Real kappaLambda = batesDetJumpModel->kappaLambda();
73 const Real thetaLambda = batesDetJumpModel->thetaLambda();
74
75 return (kappaLambda*t - 1.0 + std::exp(x: -kappaLambda*t))
76 * thetaLambda*l/(kappaLambda*t*lambda)
77 + (1.0 - std::exp(x: -kappaLambda*t))*l/(kappaLambda*t);
78 }
79
80
81 BatesDoubleExpEngine::BatesDoubleExpEngine(
82 const ext::shared_ptr<BatesDoubleExpModel> & model,
83 Size integrationOrder)
84 : AnalyticHestonEngine(model, integrationOrder) { }
85
86 BatesDoubleExpEngine::BatesDoubleExpEngine(
87 const ext::shared_ptr<BatesDoubleExpModel>& model,
88 Real relTolerance, Size maxEvaluations)
89 : AnalyticHestonEngine(model, relTolerance, maxEvaluations) { }
90
91 std::complex<Real> BatesDoubleExpEngine::addOnTerm(
92 Real phi, Time t, Size j) const {
93 ext::shared_ptr<BatesDoubleExpModel> batesDoubleExpModel =
94 ext::dynamic_pointer_cast<BatesDoubleExpModel>(r: *model_);
95
96 const Real p_ = batesDoubleExpModel->p();
97 const Real q_ = 1.0-p_;
98 const Real nuDown_= batesDoubleExpModel->nuDown();
99 const Real nuUp_ = batesDoubleExpModel->nuUp();
100 const Real lambda_= batesDoubleExpModel->lambda();
101 const Real i = (j == 1)? 1.0 : 0.0;
102 const std::complex<Real> g(i, phi);
103
104 return t*lambda_*(p_/(1.0-g*nuUp_) + q_/(1.0+g*nuDown_) - 1.0
105 - g*(p_/(1-nuUp_) + q_/(1+nuDown_)-1));
106 }
107
108 BatesDoubleExpDetJumpEngine::BatesDoubleExpDetJumpEngine(
109 const ext::shared_ptr<BatesDoubleExpDetJumpModel> & model,
110 Size integrationOrder)
111 : BatesDoubleExpEngine(model, integrationOrder) { }
112
113 BatesDoubleExpDetJumpEngine::BatesDoubleExpDetJumpEngine(
114 const ext::shared_ptr<BatesDoubleExpDetJumpModel>& model,
115 Real relTolerance, Size maxEvaluations)
116 : BatesDoubleExpEngine(model, relTolerance, maxEvaluations) { }
117
118 std::complex<Real> BatesDoubleExpDetJumpEngine::addOnTerm(
119 Real phi, Time t, Size j) const {
120 const std::complex<Real> l =
121 BatesDoubleExpEngine::addOnTerm(phi, t, j);
122
123 ext::shared_ptr<BatesDoubleExpDetJumpModel> doubleExpDetJumpModel
124 = ext::dynamic_pointer_cast<BatesDoubleExpDetJumpModel>(r: *model_);
125
126 const Real lambda = doubleExpDetJumpModel->lambda();
127 const Real kappaLambda = doubleExpDetJumpModel->kappaLambda();
128 const Real thetaLambda = doubleExpDetJumpModel->thetaLambda();
129
130 return (kappaLambda*t - 1.0 + std::exp(x: -kappaLambda*t))
131 * thetaLambda*l/(kappaLambda*t*lambda)
132 + (1.0 - std::exp(x: -kappaLambda*t))*l/(kappaLambda*t);
133 }
134
135}
136

source code of quantlib/ql/pricingengines/vanilla/batesengine.cpp