1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2010 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdbatesvanillaengine.cpp
21 \brief Partial Integro Finite-Differences Bates vanilla option engine
22*/
23
24#include <ql/processes/batesprocess.hpp>
25#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
26#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>
27#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
28
29namespace QuantLib {
30
31 QL_DEPRECATED_DISABLE_WARNING
32
33 FdBatesVanillaEngine::FdBatesVanillaEngine(
34 const ext::shared_ptr<BatesModel>& model,
35 Size tGrid, Size xGrid,
36 Size vGrid, Size dampingSteps,
37 const FdmSchemeDesc& schemeDesc)
38 : GenericModelEngine<BatesModel,
39 DividendVanillaOption::arguments,
40 DividendVanillaOption::results>(model),
41 explicitDividends_(false),
42 tGrid_(tGrid), xGrid_(xGrid),
43 vGrid_(vGrid), dampingSteps_(dampingSteps),
44 schemeDesc_(schemeDesc) {}
45
46 FdBatesVanillaEngine::FdBatesVanillaEngine(
47 const ext::shared_ptr<BatesModel>& model,
48 DividendSchedule dividends,
49 Size tGrid, Size xGrid,
50 Size vGrid, Size dampingSteps,
51 const FdmSchemeDesc& schemeDesc)
52 : GenericModelEngine<BatesModel,
53 DividendVanillaOption::arguments,
54 DividendVanillaOption::results>(model),
55 dividends_(std::move(dividends)), explicitDividends_(true),
56 tGrid_(tGrid), xGrid_(xGrid),
57 vGrid_(vGrid), dampingSteps_(dampingSteps),
58 schemeDesc_(schemeDesc) {}
59
60 QL_DEPRECATED_ENABLE_WARNING
61
62 void FdBatesVanillaEngine::calculate() const {
63
64 // dividends will eventually be moved out of arguments, but for now we need the switch
65 QL_DEPRECATED_DISABLE_WARNING
66 const DividendSchedule& passedDividends = explicitDividends_ ? dividends_ : arguments_.cashFlow;
67 QL_DEPRECATED_ENABLE_WARNING
68
69 FdHestonVanillaEngine helperEngine(model_.currentLink(),
70 passedDividends,
71 tGrid_, xGrid_, vGrid_,
72 dampingSteps_, schemeDesc_);
73
74 QL_DEPRECATED_DISABLE_WARNING
75 *dynamic_cast<DividendVanillaOption::arguments*>(
76 helperEngine.getArguments()) = arguments_;
77 QL_DEPRECATED_ENABLE_WARNING
78
79 FdmSolverDesc solverDesc = helperEngine.getSolverDesc(equityScaleFactor: 2.0);
80
81 const ext::shared_ptr<BatesProcess> process =
82 ext::dynamic_pointer_cast<BatesProcess>(r: model_->process());
83
84 ext::shared_ptr<FdmBatesSolver> solver(
85 new FdmBatesSolver(Handle<BatesProcess>(process),
86 solverDesc, schemeDesc_));
87
88 const Real v0 = process->v0();
89 const Real spot = process->s0()->value();
90
91 results_.value = solver->valueAt(s: spot, v: v0);
92 results_.delta = solver->deltaAt(s: spot, v: v0);
93 results_.gamma = solver->gammaAt(s: spot, v: v0);
94 results_.theta = solver->thetaAt(s: spot, v: v0);
95 }
96}
97

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