| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
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| 5 | Copyright (C) 2003 Ferdinando Ametrano |
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| 6 | Copyright (C) 2007 StatPro Italia srl |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | #include <ql/exercise.hpp> |
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| 23 | #include <ql/instruments/impliedvolatility.hpp> |
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| 24 | #include <ql/instruments/vanillaoption.hpp> |
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| 25 | #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp> |
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| 26 | #include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp> |
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| 27 | #include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp> |
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| 28 | #include <memory> |
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| 29 | |
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| 30 | namespace QuantLib { |
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| 31 | |
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| 32 | VanillaOption::VanillaOption( |
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| 33 | const ext::shared_ptr<StrikedTypePayoff>& payoff, |
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| 34 | const ext::shared_ptr<Exercise>& exercise) |
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| 35 | : OneAssetOption(payoff, exercise) {} |
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| 36 | |
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| 37 | |
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| 38 | Volatility VanillaOption::impliedVolatility( |
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| 39 | Real targetValue, |
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| 40 | const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, |
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| 41 | Real accuracy, |
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| 42 | Size maxEvaluations, |
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| 43 | Volatility minVol, |
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| 44 | Volatility maxVol) const { |
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| 45 | return impliedVolatility(price: targetValue, process, dividends: DividendSchedule(), |
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| 46 | accuracy, maxEvaluations, minVol, maxVol); |
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| 47 | } |
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| 48 | |
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| 49 | Volatility VanillaOption::impliedVolatility( |
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| 50 | Real targetValue, |
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| 51 | const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, |
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| 52 | const DividendSchedule& dividends, |
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| 53 | Real accuracy, |
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| 54 | Size maxEvaluations, |
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| 55 | Volatility minVol, |
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| 56 | Volatility maxVol) const { |
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| 57 | |
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| 58 | QL_REQUIRE(!isExpired(), "option expired" ); |
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| 59 | |
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| 60 | ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote); |
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| 61 | |
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| 62 | ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess = |
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| 63 | detail::ImpliedVolatilityHelper::clone(process, volQuote); |
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| 64 | |
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| 65 | // engines are built-in for the time being |
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| 66 | std::unique_ptr<PricingEngine> engine; |
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| 67 | switch (exercise_->type()) { |
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| 68 | case Exercise::European: |
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| 69 | if (dividends.empty()) |
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| 70 | engine = std::make_unique<AnalyticEuropeanEngine>(args&: newProcess); |
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| 71 | else |
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| 72 | engine = std::make_unique<AnalyticDividendEuropeanEngine>(args&: newProcess, args: dividends); |
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| 73 | break; |
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| 74 | case Exercise::American: |
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| 75 | case Exercise::Bermudan: |
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| 76 | if (dividends.empty()) |
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| 77 | engine = std::make_unique<FdBlackScholesVanillaEngine>(args&: newProcess); |
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| 78 | else |
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| 79 | engine = std::make_unique<FdBlackScholesVanillaEngine>(args&: newProcess, args: dividends); |
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| 80 | break; |
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| 81 | default: |
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| 82 | QL_FAIL("unknown exercise type" ); |
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| 83 | } |
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| 84 | |
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| 85 | return detail::ImpliedVolatilityHelper::calculate(instrument: *this, |
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| 86 | engine: *engine, |
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| 87 | volQuote&: *volQuote, |
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| 88 | targetValue, |
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| 89 | accuracy, |
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| 90 | maxEvaluations, |
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| 91 | minVol, maxVol); |
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| 92 | } |
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| 93 | |
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| 94 | void VanillaOption::setupArguments(PricingEngine::arguments* args) const { |
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| 95 | OneAssetOption::setupArguments(args); |
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| 96 | |
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| 97 | /* this is a workaround in case an engine is used for both vanilla |
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| 98 | and dividend options. The dividends might have been set by another |
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| 99 | instrument and need to be cleared. */ |
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| 100 | QL_DEPRECATED_DISABLE_WARNING |
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| 101 | auto* arguments = dynamic_cast<DividendVanillaOption::arguments*>(args); |
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| 102 | QL_DEPRECATED_ENABLE_WARNING |
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| 103 | if (arguments != nullptr) { |
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| 104 | arguments->cashFlow.clear(); |
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| 105 | } |
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| 106 | } |
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| 107 | |
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| 108 | } |
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| 109 | |
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| 110 | |
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