/usr/include/ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp is in libquantlib0-dev 1.12-1.
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/*
Copyright (C) 2007, 2008 Klaus Spanderen
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 mchestonhullwhiteengine.hpp
\brief Monte Carlo vanilla option engine for stochastic interest rates
*/
#ifndef quantlib_mc_heston_hull_white_engine_hpp
#define quantlib_mc_heston_hull_white_engine_hpp
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
namespace QuantLib {
template <class RNG = PseudoRandom, class S = Statistics>
class MCHestonHullWhiteEngine
: public MCVanillaEngine<MultiVariate, RNG, S> {
public:
typedef MCVanillaEngine<MultiVariate, RNG,S> base_type;
typedef typename base_type::path_generator_type path_generator_type;
typedef typename base_type::path_pricer_type path_pricer_type;
typedef typename base_type::stats_type stats_type;
typedef typename base_type::result_type result_type;
MCHestonHullWhiteEngine(
const boost::shared_ptr<HybridHestonHullWhiteProcess>& process,
Size timeSteps,
Size timeStepsPerYear,
bool antitheticVariate,
bool controlVariate,
Size requiredSamples,
Real requiredTolerance,
Size maxSamples,
BigNatural seed);
void calculate() const;
protected:
// just to avoid upcasting
boost::shared_ptr<HybridHestonHullWhiteProcess> process_;
boost::shared_ptr<path_pricer_type> pathPricer() const;
boost::shared_ptr<path_pricer_type> controlPathPricer() const;
boost::shared_ptr<PricingEngine> controlPricingEngine() const;
boost::shared_ptr<path_generator_type> controlPathGenerator() const;
};
//! Monte Carlo Heston/Hull-White engine factory
template <class RNG = PseudoRandom, class S = Statistics>
class MakeMCHestonHullWhiteEngine {
public:
MakeMCHestonHullWhiteEngine(
const boost::shared_ptr<HybridHestonHullWhiteProcess>&);
// named parameters
MakeMCHestonHullWhiteEngine& withSteps(Size steps);
MakeMCHestonHullWhiteEngine& withStepsPerYear(Size steps);
MakeMCHestonHullWhiteEngine& withAntitheticVariate(bool b = true);
MakeMCHestonHullWhiteEngine& withControlVariate(bool b = true);
MakeMCHestonHullWhiteEngine& withSamples(Size samples);
MakeMCHestonHullWhiteEngine& withAbsoluteTolerance(Real tolerance);
MakeMCHestonHullWhiteEngine& withMaxSamples(Size samples);
MakeMCHestonHullWhiteEngine& withSeed(BigNatural seed);
// conversion to pricing engine
operator boost::shared_ptr<PricingEngine>() const;
private:
boost::shared_ptr<HybridHestonHullWhiteProcess> process_;
Size steps_, stepsPerYear_, samples_, maxSamples_;
bool antithetic_, controlVariate_;
Real tolerance_;
BigNatural seed_;
};
class HestonHullWhitePathPricer : public PathPricer<MultiPath> {
public:
HestonHullWhitePathPricer(
Time exerciseTime,
const boost::shared_ptr<Payoff> & payoff,
const boost::shared_ptr<HybridHestonHullWhiteProcess> & process);
Real operator()(const MultiPath& path) const;
private:
Time exerciseTime_;
boost::shared_ptr<Payoff> payoff_;
boost::shared_ptr<HybridHestonHullWhiteProcess> process_;
};
template<class RNG,class S>
inline MCHestonHullWhiteEngine<RNG,S>::MCHestonHullWhiteEngine(
const boost::shared_ptr<HybridHestonHullWhiteProcess> & process,
Size timeSteps,
Size timeStepsPerYear,
bool antitheticVariate,
bool controlVariate,
Size requiredSamples,
Real requiredTolerance,
Size maxSamples,
BigNatural seed)
: base_type(process, timeSteps, timeStepsPerYear,
false, antitheticVariate,
controlVariate, requiredSamples,
requiredTolerance, maxSamples, seed),
process_(process) {}
template<class RNG,class S>
inline void MCHestonHullWhiteEngine<RNG,S>::calculate() const {
MCVanillaEngine<MultiVariate, RNG, S>::calculate();
if (this->controlVariate_) {
// control variate might lead to small negative
// option values for deep OTM options
this->results_.value = std::max(0.0, this->results_.value);
}
}
template <class RNG,class S> inline
boost::shared_ptr<typename MCHestonHullWhiteEngine<RNG,S>::path_pricer_type>
MCHestonHullWhiteEngine<RNG,S>::pathPricer() const {
boost::shared_ptr<Exercise> exercise = this->arguments_.exercise;
QL_REQUIRE(exercise->type() == Exercise::European,
"only european exercise is supported");
const Time exerciseTime = process_->time(exercise->lastDate());
return boost::shared_ptr<path_pricer_type>(
new HestonHullWhitePathPricer(exerciseTime,
this->arguments_.payoff,
process_));
}
template <class RNG, class S> inline
boost::shared_ptr<
typename MCHestonHullWhiteEngine<RNG,S>::path_pricer_type>
MCHestonHullWhiteEngine<RNG,S>::controlPathPricer() const {
boost::shared_ptr<HestonProcess> hestonProcess =
process_->hestonProcess();
QL_REQUIRE(hestonProcess, "first constituent of the joint stochastic "
"process need to be of type HestonProcess");
boost::shared_ptr<Exercise> exercise = this->arguments_.exercise;
QL_REQUIRE(exercise->type() == Exercise::European,
"only european exercise is supported");
const Time exerciseTime = process_->time(exercise->lastDate());
return boost::shared_ptr<path_pricer_type>(
new HestonHullWhitePathPricer(
exerciseTime,
this->arguments_.payoff,
process_) );
}
template <class RNG, class S> inline
boost::shared_ptr<PricingEngine>
MCHestonHullWhiteEngine<RNG,S>::controlPricingEngine() const {
boost::shared_ptr<HestonProcess> hestonProcess =
process_->hestonProcess();
boost::shared_ptr<HullWhiteForwardProcess> hullWhiteProcess =
process_->hullWhiteProcess();
boost::shared_ptr<HestonModel> hestonModel(
new HestonModel(hestonProcess));
boost::shared_ptr<HullWhite> hwModel(
new HullWhite(hestonProcess->riskFreeRate(),
hullWhiteProcess->a(),
hullWhiteProcess->sigma()));
return boost::shared_ptr<PricingEngine>(
new AnalyticHestonHullWhiteEngine(hestonModel, hwModel, 144));
}
template <class RNG, class S> inline
boost::shared_ptr<
typename MCHestonHullWhiteEngine<RNG,S>::path_generator_type>
MCHestonHullWhiteEngine<RNG,S>::controlPathGenerator() const {
Size dimensions = process_->factors();
TimeGrid grid = this->timeGrid();
typename RNG::rsg_type generator =
RNG::make_sequence_generator(dimensions*(grid.size()-1),
this->seed_);
boost::shared_ptr<HybridHestonHullWhiteProcess> cvProcess(
new HybridHestonHullWhiteProcess(process_->hestonProcess(),
process_->hullWhiteProcess(),
0.0,
process_->discretization()));
return boost::shared_ptr<path_generator_type>(
new path_generator_type(cvProcess, grid, generator, false));
}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>::MakeMCHestonHullWhiteEngine(
const boost::shared_ptr<HybridHestonHullWhiteProcess>& process)
: process_(process),
steps_(Null<Size>()), stepsPerYear_(Null<Size>()),
samples_(Null<Size>()), maxSamples_(Null<Size>()),
antithetic_(false), controlVariate_(false),
tolerance_(Null<Real>()), seed_(0) {}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<RNG,S>::withSteps(Size steps) {
steps_ = steps;
return *this;
}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<RNG,S>::withStepsPerYear(Size steps) {
stepsPerYear_ = steps;
return *this;
}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<RNG,S>::withAntitheticVariate(bool b) {
antithetic_ = b;
return *this;
}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<RNG,S>::withControlVariate(bool b) {
controlVariate_ = b;
return *this;
}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<RNG,S>::withSamples(Size samples) {
QL_REQUIRE(tolerance_ == Null<Real>(),
"tolerance already set");
samples_ = samples;
return *this;
}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<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 MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<RNG,S>::withMaxSamples(Size samples) {
maxSamples_ = samples;
return *this;
}
template <class RNG, class S>
inline MakeMCHestonHullWhiteEngine<RNG,S>&
MakeMCHestonHullWhiteEngine<RNG,S>::withSeed(BigNatural seed) {
seed_ = seed;
return *this;
}
template <class RNG, class S>
inline
MakeMCHestonHullWhiteEngine<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
MCHestonHullWhiteEngine<RNG,S>(process_,
steps_,
stepsPerYear_,
antithetic_,
controlVariate_,
samples_,
tolerance_,
maxSamples_,
seed_));
}
}
#endif
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