1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2011 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 fdoujumpvanillaengine.cpp
21     \brief Finite Differences Ornstein Uhlenbeck plus exponential jumps engine
22            for simple swing options
23 */
24 
25 #include <ql/exercise.hpp>
26 #include <ql/termstructures/yieldtermstructure.hpp>
27 #include <ql/experimental/processes/extouwithjumpsprocess.hpp>
28 #include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
29 #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
30 #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
31 #include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
32 #include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
33 #include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
34 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
35 #include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
36 #include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
37 #include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
38 #include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
39 
40 namespace QuantLib {
41 
FdExtOUJumpVanillaEngine(const ext::shared_ptr<ExtOUWithJumpsProcess> & process,const ext::shared_ptr<YieldTermStructure> & rTS,Size tGrid,Size xGrid,Size yGrid,const ext::shared_ptr<Shape> & shape,const FdmSchemeDesc & schemeDesc)42     FdExtOUJumpVanillaEngine::FdExtOUJumpVanillaEngine(
43                       const ext::shared_ptr<ExtOUWithJumpsProcess>& process,
44                       const ext::shared_ptr<YieldTermStructure>& rTS,
45                       Size tGrid, Size xGrid, Size yGrid,
46                       const ext::shared_ptr<Shape>& shape,
47                       const FdmSchemeDesc& schemeDesc)
48     : process_(process),
49       rTS_(rTS),
50       shape_(shape),
51       tGrid_(tGrid),
52       xGrid_(xGrid),
53       yGrid_(yGrid),
54       schemeDesc_(schemeDesc) {
55     }
56 
calculate() const57     void FdExtOUJumpVanillaEngine::calculate() const {
58         // 1. Mesher
59         const Time maturity
60             = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
61                                               arguments_.exercise->lastDate());
62         const ext::shared_ptr<StochasticProcess1D> ouProcess(
63             process_->getExtendedOrnsteinUhlenbeckProcess());
64         const ext::shared_ptr<Fdm1dMesher> xMesher(
65             new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
66 
67         const ext::shared_ptr<Fdm1dMesher> yMesher(
68             new ExponentialJump1dMesher(yGrid_,
69                                         process_->beta(),
70                                         process_->jumpIntensity(),
71                                         process_->eta()));
72 
73         const ext::shared_ptr<FdmMesher> mesher(
74             new FdmMesherComposite(xMesher, yMesher));
75 
76         // 2. Calculator
77         const ext::shared_ptr<FdmInnerValueCalculator> calculator(
78             new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher, shape_));
79 
80         // 3. Step conditions
81         const ext::shared_ptr<FdmStepConditionComposite> conditions =
82             FdmStepConditionComposite::vanillaComposite(
83                                 DividendSchedule(), arguments_.exercise,
84                                 mesher, calculator,
85                                 rTS_->referenceDate(), rTS_->dayCounter());
86 
87         // 4. Boundary conditions
88         const FdmBoundaryConditionSet boundaries;
89 
90         // 5. set-up solver
91         FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
92                                     calculator, maturity, tGrid_, 0 };
93 
94         const ext::shared_ptr<FdmExtOUJumpSolver> solver(
95             new FdmExtOUJumpSolver(Handle<ExtOUWithJumpsProcess>(process_),
96                                    rTS_, solverDesc, schemeDesc_));
97 
98         const Real x = process_->initialValues()[0];
99         const Real y = process_->initialValues()[1];
100         results_.value = solver->valueAt(x, y);
101     }
102 }
103