operatorsplittingspreadengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2024 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 operatorsplittingspreadengine.hpp
    \brief Analytic operator splitting approximation by Chi-Fai Lo (2015)
*/
 
#ifndef quantlib_operator_splitting_spread_engine_hpp
#define quantlib_operator_splitting_spread_engine_hpp
 
#include <ql/pricingengines/basket/spreadblackscholesvanillaengine.hpp>
 
namespace QuantLib {
 
    //! Pricing engine for spread options with two assets
    /*! Chi-Fai Lo,
        Pricing Spread Options by the Operator Splitting Method,
        https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2429696
 
        \ingroup basketengines
    */
    class OperatorSplittingSpreadEngine : public SpreadBlackScholesVanillaEngine {
      public:
        enum Order {First, Second};
        OperatorSplittingSpreadEngine(
            ext::shared_ptr<GeneralizedBlackScholesProcess> process1,
            ext::shared_ptr<GeneralizedBlackScholesProcess> process2,
            Real correlation,
            Order order = Second);
 
      protected:
        Real calculate(Real f1, Real f2, Real strike, Option::Type optionType,
            Real variance1, Real variance2, DiscountFactor df) const override;
 
        const Order order_;
    };
}
 
 
#endif