/usr/include/ql/pricingengines/vanilla/mceuropeanengine.hpp is in libquantlib0-dev 1.12-1.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2007, 2008 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 mceuropeanengine.hpp
\brief Monte Carlo European option engine
*/
#ifndef quantlib_montecarlo_european_engine_hpp
#define quantlib_montecarlo_european_engine_hpp
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
namespace QuantLib {
//! European option pricing engine using Monte Carlo simulation
/*! \ingroup vanillaengines
\test the correctness of the returned value is tested by
checking it against analytic results.
*/
template <class RNG = PseudoRandom, class S = Statistics>
class MCEuropeanEngine : public MCVanillaEngine<SingleVariate,RNG,S> {
public:
typedef
typename MCVanillaEngine<SingleVariate,RNG,S>::path_generator_type
path_generator_type;
typedef
typename MCVanillaEngine<SingleVariate,RNG,S>::path_pricer_type
path_pricer_type;
typedef typename MCVanillaEngine<SingleVariate,RNG,S>::stats_type
stats_type;
// constructor
MCEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps,
Size timeStepsPerYear,
bool brownianBridge,
bool antitheticVariate,
Size requiredSamples,
Real requiredTolerance,
Size maxSamples,
BigNatural seed);
protected:
boost::shared_ptr<path_pricer_type> pathPricer() const;
};
//! Monte Carlo European engine factory
template <class RNG = PseudoRandom, class S = Statistics>
class MakeMCEuropeanEngine {
public:
MakeMCEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>&);
// named parameters
MakeMCEuropeanEngine& withSteps(Size steps);
MakeMCEuropeanEngine& withStepsPerYear(Size steps);
MakeMCEuropeanEngine& withBrownianBridge(bool b = true);
MakeMCEuropeanEngine& withSamples(Size samples);
MakeMCEuropeanEngine& withAbsoluteTolerance(Real tolerance);
MakeMCEuropeanEngine& withMaxSamples(Size samples);
MakeMCEuropeanEngine& withSeed(BigNatural seed);
MakeMCEuropeanEngine& withAntitheticVariate(bool b = true);
// conversion to pricing engine
operator boost::shared_ptr<PricingEngine>() const;
private:
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
bool antithetic_;
Size steps_, stepsPerYear_, samples_, maxSamples_;
Real tolerance_;
bool brownianBridge_;
BigNatural seed_;
};
class EuropeanPathPricer : public PathPricer<Path> {
public:
EuropeanPathPricer(Option::Type type,
Real strike,
DiscountFactor discount);
Real operator()(const Path& path) const;
private:
PlainVanillaPayoff payoff_;
DiscountFactor discount_;
};
// inline definitions
template <class RNG, class S>
inline
MCEuropeanEngine<RNG,S>::MCEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps,
Size timeStepsPerYear,
bool brownianBridge,
bool antitheticVariate,
Size requiredSamples,
Real requiredTolerance,
Size maxSamples,
BigNatural seed)
: MCVanillaEngine<SingleVariate,RNG,S>(process,
timeSteps,
timeStepsPerYear,
brownianBridge,
antitheticVariate,
false,
requiredSamples,
requiredTolerance,
maxSamples,
seed) {}
template <class RNG, class S>
inline
boost::shared_ptr<typename MCEuropeanEngine<RNG,S>::path_pricer_type>
MCEuropeanEngine<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<GeneralizedBlackScholesProcess> process =
boost::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(
this->process_);
QL_REQUIRE(process, "Black-Scholes process required");
return boost::shared_ptr<
typename MCEuropeanEngine<RNG,S>::path_pricer_type>(
new EuropeanPathPricer(
payoff->optionType(),
payoff->strike(),
process->riskFreeRate()->discount(this->timeGrid().back())));
}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>::MakeMCEuropeanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process)
: process_(process), antithetic_(false),
steps_(Null<Size>()), stepsPerYear_(Null<Size>()),
samples_(Null<Size>()), maxSamples_(Null<Size>()),
tolerance_(Null<Real>()), brownianBridge_(false), seed_(0) {}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<RNG,S>::withSteps(Size steps) {
steps_ = steps;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<RNG,S>::withStepsPerYear(Size steps) {
stepsPerYear_ = steps;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<RNG,S>::withSamples(Size samples) {
QL_REQUIRE(tolerance_ == Null<Real>(),
"tolerance already set");
samples_ = samples;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<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 MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<RNG,S>::withMaxSamples(Size samples) {
maxSamples_ = samples;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<RNG,S>::withSeed(BigNatural seed) {
seed_ = seed;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<RNG,S>::withBrownianBridge(bool brownianBridge) {
brownianBridge_ = brownianBridge;
return *this;
}
template <class RNG, class S>
inline MakeMCEuropeanEngine<RNG,S>&
MakeMCEuropeanEngine<RNG,S>::withAntitheticVariate(bool b) {
antithetic_ = b;
return *this;
}
template <class RNG, class S>
inline
MakeMCEuropeanEngine<RNG,S>::operator boost::shared_ptr<PricingEngine>()
const {
QL_REQUIRE(steps_ != Null<Size>() || stepsPerYear_ != Null<Size>(),
"number of steps not given");
QL_REQUIRE(steps_ == Null<Size>() || stepsPerYear_ == Null<Size>(),
"number of steps overspecified");
return boost::shared_ptr<PricingEngine>(new
MCEuropeanEngine<RNG,S>(process_,
steps_,
stepsPerYear_,
brownianBridge_,
antithetic_,
samples_, tolerance_,
maxSamples_,
seed_));
}
inline EuropeanPathPricer::EuropeanPathPricer(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 EuropeanPathPricer::operator()(const Path& path) const {
QL_REQUIRE(path.length() > 0, "the path cannot be empty");
return payoff_(path.back()) * discount_;
}
}
#endif
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