| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2002, 2003 Sadruddin Rejeb |
| 5 | Copyright (C) 2004 StatPro Italia srl |
| 6 | |
| 7 | This file is part of QuantLib, a free-software/open-source library |
| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 9 | |
| 10 | QuantLib is free software: you can redistribute it and/or modify it |
| 11 | under the terms of the QuantLib license. You should have received a |
| 12 | copy of the license along with this program; if not, please email |
| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 14 | <http://quantlib.org/license.shtml>. |
| 15 | |
| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 19 | */ |
| 20 | |
| 21 | #include <ql/pricingengines/vanilla/discretizedvanillaoption.hpp> |
| 22 | #include <vector> |
| 23 | |
| 24 | namespace QuantLib { |
| 25 | |
| 26 | DiscretizedVanillaOption::DiscretizedVanillaOption( |
| 27 | const VanillaOption::arguments& args, |
| 28 | const StochasticProcess& process, |
| 29 | const TimeGrid& grid) |
| 30 | : arguments_(args) { |
| 31 | stoppingTimes_.resize(new_size: args.exercise->dates().size()); |
| 32 | for (Size i=0; i<stoppingTimes_.size(); ++i) { |
| 33 | stoppingTimes_[i] = |
| 34 | process.time(args.exercise->date(index: i)); |
| 35 | if (!grid.empty()) { |
| 36 | // adjust to the given grid |
| 37 | stoppingTimes_[i] = grid.closestTime(t: stoppingTimes_[i]); |
| 38 | } |
| 39 | } |
| 40 | } |
| 41 | |
| 42 | void DiscretizedVanillaOption::reset(Size size) { |
| 43 | values_ = Array(size, 0.0); |
| 44 | adjustValues(); |
| 45 | } |
| 46 | |
| 47 | void DiscretizedVanillaOption::postAdjustValuesImpl() { |
| 48 | |
| 49 | Time now = time(); |
| 50 | switch (arguments_.exercise->type()) { |
| 51 | case Exercise::American: |
| 52 | if (now <= stoppingTimes_[1] && |
| 53 | now >= stoppingTimes_[0]) |
| 54 | applySpecificCondition(); |
| 55 | break; |
| 56 | case Exercise::European: |
| 57 | if (isOnTime(t: stoppingTimes_[0])) |
| 58 | applySpecificCondition(); |
| 59 | break; |
| 60 | case Exercise::Bermudan: |
| 61 | for (Real stoppingTime : stoppingTimes_) { |
| 62 | if (isOnTime(t: stoppingTime)) |
| 63 | applySpecificCondition(); |
| 64 | } |
| 65 | break; |
| 66 | default: |
| 67 | QL_FAIL("invalid option type"); |
| 68 | } |
| 69 | } |
| 70 | |
| 71 | void DiscretizedVanillaOption::applySpecificCondition() { |
| 72 | Array grid = method()->grid(time()); |
| 73 | for (Size j=0; j<values_.size(); j++) { |
| 74 | values_[j] = std::max(a: values_[j], |
| 75 | b: (*arguments_.payoff)(grid[j])); |
| 76 | } |
| 77 | } |
| 78 | |
| 79 | } |
| 80 | |
| 81 |