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forwardperformanceengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano

 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/reference/license.html>.

 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 forwardperformanceengine.hpp
    \brief Forward (strike-resetting) performance option engines
*/

#ifndef quantlib_forward_performance_engine_hpp
#define quantlib_forward_performance_engine_hpp

#include <ql/PricingEngines/Forward/forwardengine.hpp>
#include <ql/stochasticprocess.hpp>

namespace QuantLib {

    //! Forward performance engine
    /*! \ingroup forwardengines

        \test
        - the correctness of the returned value is tested by
          reproducing results available in literature.
        - the correctness of the returned greeks is tested by
          reproducing numerical derivatives.
    */
    template<class ArgumentsType, class ResultsType>
00042     class ForwardPerformanceEngine
        : public ForwardEngine<ArgumentsType, ResultsType> {
      public:
        ForwardPerformanceEngine(
          const boost::shared_ptr<GenericEngine<ArgumentsType,ResultsType> >&);
        void calculate() const;
        void getOriginalResults() const;
    };


    // template definitions

    template<class ArgumentsType, class ResultsType>
    ForwardPerformanceEngine<ArgumentsType, ResultsType>::
    ForwardPerformanceEngine(
        const boost::shared_ptr<GenericEngine<ArgumentsType, ResultsType> >&
            originalEngine)
    : ForwardEngine<ArgumentsType, ResultsType>(originalEngine) {}

    template<class ArgumentsType, class ResultsType>
    void ForwardPerformanceEngine<ArgumentsType, ResultsType>::calculate()
                                                                       const {
        this->setOriginalArguments();
        this->originalEngine_->calculate();
        getOriginalResults();
    }

    template<class ArgumentsType, class ResultsType>
    void ForwardPerformanceEngine<ArgumentsType, ResultsType>::
    getOriginalResults() const {

        boost::shared_ptr<BlackScholesProcess> process =
            boost::dynamic_pointer_cast<BlackScholesProcess>(
                                          this->arguments_.stochasticProcess);
        QL_REQUIRE(process, "Black-Scholes process required");

        DayCounter rfdc = process->riskFreeRate()->dayCounter();
        Time resetTime = rfdc.yearFraction(
            process->riskFreeRate()->referenceDate(),
            this->arguments_.resetDate);
        DiscountFactor discR = process->riskFreeRate()->discount(
                                    this->arguments_.resetDate);
        // it's a performance option
        discR /= process->stateVariable()->value();

        Real temp = this->originalResults_->value;
        this->results_.value = discR * temp;
        this->results_.delta = 0.0;
        this->results_.gamma = 0.0;
        this->results_.theta = process->riskFreeRate()->
            zeroRate(this->arguments_.resetDate, rfdc, Continuous, NoFrequency)
            * this->results_.value;
        this->results_.vega = discR * this->originalResults_->vega;
        this->results_.rho = - resetTime * this->results_.value +
            discR * this->originalResults_->rho;
        this->results_.dividendRho = discR * this->originalResults_->dividendRho;
    }

}


#endif

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