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ql_imps.cpp
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ql_imps.cpp
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// //
// Dale Roberts <dale.o.roberts@gmail.com>
//
// Call QuantLib implementations
#include <stdio.h>
#include <ql/quantlib.hpp>
#include "ql_imps.h"
using namespace QuantLib;
boost::shared_ptr<YieldTermStructure>
flatRate(const Date& today, const boost::shared_ptr<Quote>& forward, const DayCounter &dc) {
return boost::shared_ptr<YieldTermStructure>(new FlatForward(today, Handle<Quote>(forward),dc));
}
boost::shared_ptr<YieldTermStructure>
flatRate(const boost::shared_ptr<Quote>& forward, const DayCounter &dc) {
return boost::shared_ptr<YieldTermStructure>(new FlatForward(0, NullCalendar(), Handle<Quote>(forward), dc));
}
boost::shared_ptr<YieldTermStructure>
flatRate(Rate forward, const DayCounter &dc) {
return flatRate(boost::shared_ptr<Quote>(new SimpleQuote(forward)), dc);
}
boost::shared_ptr<QuantLib::BlackVolTermStructure>
flatVol(const QuantLib::Date& today, const boost::shared_ptr<Quote>& vol, const QuantLib::DayCounter& dc) {
return boost::shared_ptr<QuantLib::BlackVolTermStructure>(new QuantLib::BlackConstantVol(today, NullCalendar(), Handle<Quote>(vol), dc));
}
boost::shared_ptr<QuantLib::BlackVolTermStructure>
flatVol(const QuantLib::Date& today, Real vol, const DayCounter &dc) {
return flatVol(today, boost::shared_ptr<Quote>(new SimpleQuote(vol)), dc);
}
Real HestonCallAnalytic(Real r, Real rho, Real kappa, Real theta, Real sigma, Real v0, Real S0, Real T, Real K) {
// Square root process
// dv(t) = \kappa (\theta - v(t))dt + \sigma \sqrt{v(t)}dW(t)
// v(0) = v0.
Calendar calendar = NullCalendar();
DayCounter dayCounter = SimpleDayCounter();
Date todaysDate = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = todaysDate;
Date maturityDate = calendar.advance(todaysDate, T*Years);
printf("\nT:%f\n", dayCounter.yearFraction(todaysDate, maturityDate));
Option::Type type(Option::Call);
Rate riskFreeRate = r;
boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(type, K));
boost::shared_ptr<Exercise> europeanExercise(new EuropeanExercise(maturityDate));
VanillaOption option(payoff, europeanExercise);
Handle<Quote> underlyingH(boost::shared_ptr<Quote>(new SimpleQuote(S0)));
Handle<YieldTermStructure> riskFreeTS(flatRate(riskFreeRate, dayCounter));
Handle<YieldTermStructure> dividendTS(flatRate(0, dayCounter));
boost::shared_ptr<HestonProcess> process(new HestonProcess(riskFreeTS, dividendTS, underlyingH, v0, kappa, theta, sigma, rho));
boost::shared_ptr<AnalyticHestonEngine> engine(new AnalyticHestonEngine(boost::shared_ptr<HestonModel>(new HestonModel(process)),64));
option.setPricingEngine(engine);
return (Real) option.NPV();
}
Real HestonCallMC(Real r, Real rho, Real kappa, Real theta, Real sigma, Real v0, Real S0, Real T, Real K, int discretization, int trials, int steps, int seed) {
HestonProcess::Discretization d;
switch (discretization)
{
case 1:
d = HestonProcess::PartialTruncation;
break;
case 2:
d = HestonProcess::FullTruncation;
break;
case 3:
d = HestonProcess::Reflection;
break;
case 4:
d = HestonProcess::NonCentralChiSquareVariance;
break;
case 5:
d = HestonProcess::QuadraticExponential;
break;
case 6:
d = HestonProcess::QuadraticExponentialMartingale;
break;
}
Calendar calendar = NullCalendar();
DayCounter dayCounter = SimpleDayCounter();
Date todaysDate = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = todaysDate;
Date maturityDate = calendar.advance(todaysDate, T*Years);
Option::Type type(Option::Call);
Rate riskFreeRate = r;
boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(type, K));
boost::shared_ptr<Exercise> europeanExercise(new EuropeanExercise(maturityDate));
VanillaOption option(payoff, europeanExercise);
Handle<Quote> underlyingH(boost::shared_ptr<Quote>(new SimpleQuote(S0)));
Handle<YieldTermStructure> riskFreeTS(flatRate(riskFreeRate, dayCounter));
Handle<YieldTermStructure> dividendTS(flatRate(0, dayCounter));
boost::shared_ptr<HestonProcess> process(new HestonProcess(riskFreeTS, dividendTS, underlyingH, v0, kappa, theta, sigma, rho, d));
// boost::shared_ptr<PricingEngine> engine =
// MakeMCEuropeanHestonEngine<PseudoRandom>(process)
// .withSteps(10)
// .withAntitheticVariate()
// .withSamples(5000)
// .withSeed(1234);
boost::shared_ptr<PricingEngine> engine =
MakeMCEuropeanHestonEngine<PseudoRandom>(process)
.withSteps(steps)
.withSamples(trials)
.withSeed(seed);
option.setPricingEngine(engine);
return (Real) option.NPV();
}
Real BlackScholesCall(Real r, Real sigma, Real S0, Real T, Real K) {
Calendar calendar = NullCalendar();
DayCounter dayCounter = SimpleDayCounter();
Date todaysDate = calendar.adjust(Date::todaysDate());
Date maturityDate = calendar.advance(todaysDate, T*Years);
Settings::instance().evaluationDate() = todaysDate;
Option::Type type(Option::Call);
boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(type, K));
boost::shared_ptr<Exercise> europeanExercise(new EuropeanExercise(maturityDate));
VanillaOption option(payoff, europeanExercise);
Handle<Quote> S0H(boost::shared_ptr<Quote>(new SimpleQuote(S0)));
Handle<BlackVolTermStructure> volatilityTS(flatVol(todaysDate, sigma, dayCounter));
Handle<YieldTermStructure> riskFreeTS(flatRate(r, dayCounter));
Handle<YieldTermStructure> dividendTS(flatRate(0, dayCounter));
boost::shared_ptr<BlackScholesMertonProcess> process(new BlackScholesMertonProcess(S0H, dividendTS, riskFreeTS, volatilityTS));
boost::shared_ptr<PricingEngine> engine(new AnalyticEuropeanEngine(process));
option.setPricingEngine(engine);
return (Real) option.NPV();
}
Real HestonFdBarrierDownOutCall(Real r, Real rho, Real kappa, Real theta, Real sigma, Real v0, Real S0, Real T, Real K, Real H)
{
Calendar calendar = NullCalendar();
DayCounter dayCounter = SimpleDayCounter();
Date todaysDate = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = todaysDate;
Date maturityDate = calendar.advance(todaysDate, T*Years);
Option::Type type(Option::Call);
Rate riskFreeRate = r;
boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(type, K));
boost::shared_ptr<Exercise> exercise(new EuropeanExercise(maturityDate));
Handle<Quote> underlyingH(boost::shared_ptr<Quote>(new SimpleQuote(S0)));
Handle<YieldTermStructure> riskFreeTS(flatRate(riskFreeRate, dayCounter));
Handle<YieldTermStructure> dividendTS(flatRate(0, dayCounter));
boost::shared_ptr<HestonProcess> process(new HestonProcess(riskFreeTS, dividendTS, underlyingH, v0, kappa, theta, sigma, rho));
boost::shared_ptr<PricingEngine> engine(new FdHestonBarrierEngine(
boost::shared_ptr<HestonModel>(new HestonModel(process)),
200,400,100));
BarrierOption option(Barrier::DownOut, H, 0.0, payoff, exercise);
option.setPricingEngine(engine);
return (Real) option.NPV();
}