singlefactorbsmbasketengine.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 singlefactorbsmbasketengine.hpp
    \brief Basket engine where all underlyings are driven by one stochastic factor
*/
 
#ifndef quantlib_single_factor_bsm_basket_engine_hpp
#define quantlib_single_factor_bsm_basket_engine_hpp
 
#include <ql/pricingengine.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
 
    //! Pricing engine for baskets where all underlyings are driven by one stochastic factor
    /*! Jaehyuk Choi,
        Sum of all Black-Scholes-Merton Models:
        An efficient Pricing Method for Spread, Basket and Asian Options,
        https://arxiv.org/pdf/1805.03172
 
        \ingroup basketengines
    */
 
    class SingleFactorBsmBasketEngine : public BasketOption::engine {
      public:
        explicit SingleFactorBsmBasketEngine(
            std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > p,
            Real xTol = 1e4*QL_EPSILON);
 
        void calculate() const override;
 
      private:
        const Real xTol_;
        const Size n_;
        const std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > processes_;
    };
 
    namespace detail {
        class SumExponentialsRootSolver {
          public:
            enum Strategy {Ridder, Newton, Brent, Halley};
 
            SumExponentialsRootSolver(Array a, Array sig, Real K);
 
            Real operator()(Real x) const;
            Real derivative(Real x) const;
            Real secondDerivative(Real x) const;
 
            Real getRoot(Real xTol = 1e6*QL_EPSILON, Strategy strategy = Brent) const;
 
            Size getFCtr() const;
            Size getDerivativeCtr() const;
            Size getSecondDerivativeCtr() const;
 
          private:
            const Array a_, sig_;
            const Real K_;
            mutable Size fCtr_ = 0, fPrimeCtr_ = 0, fDoublePrimeCtr_ = 0;
        };
    }
}
 
 
#endif