Cliquet Pricing
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I have taken the code from test-suite. Basically some form Cliquet and some from Heston. I wanted to pricing Cliquet option using Heston Process. If I simply use CliquetOption and setPricingEngine to AnalyticHestonEngine then it's giving ABORT SIGNAL. Can anyone help me with this?? Thanks in advance.... 'The important lines for quick look are boost::shared_ptr<HestonModel> model(new HestonModel(process)); boost::shared_ptr<PricingEngine> engine( new AnalyticHestonEngine(model, 64)); ....... ...... ....... (Model calibration)...... ...... CliquetOption option1(payoff, exercise, reset); option1.setPricingEngine(engine); Real ff = option1.NPV() (error thrown just as NPV is called!) Code pasted SavedSettings backup; Date settlementDate(5, July, 2002); Settings::instance().evaluationDate() = settlementDate; DayCounter dayCounter = Actual365Fixed(); Calendar calendar = TARGET(); Integer t[] = { 13, 41, 75, 165, 256, 345, 524, 703 }; Rate r[] = { 0.0357,0.0349,0.0341,0.0355,0.0359,0.0368,0.0386,0.0401 }; std::vector<Date> dates; std::vector<Rate> rates; dates.push_back(settlementDate); rates.push_back(0.0357); Size i; for (i = 0; i < 8; ++i) { dates.push_back(settlementDate + t[i]); rates.push_back(r[i]); } // FLOATING_POINT_EXCEPTION Handle<YieldTermStructure> riskFreeTS( boost::shared_ptr<YieldTermStructure>( new ZeroCurve(dates, rates, dayCounter))); Handle<YieldTermStructure> dividendTS( flatRate(settlementDate, 0.0, dayCounter)); Volatility v[] = { 0.6625,0.4875,0.4204,0.3667,0.3431,0.3267,0.3121,0.3121, 0.6007,0.4543,0.3967,0.3511,0.3279,0.3154,0.2984,0.2921, 0.5084,0.4221,0.3718,0.3327,0.3155,0.3027,0.2919,0.2889, 0.4541,0.3869,0.3492,0.3149,0.2963,0.2926,0.2819,0.2800, 0.4060,0.3607,0.3330,0.2999,0.2887,0.2811,0.2751,0.2775, 0.3726,0.3396,0.3108,0.2781,0.2788,0.2722,0.2661,0.2686, 0.3550,0.3277,0.3012,0.2781,0.2781,0.2661,0.2661,0.2681, 0.3428,0.3209,0.2958,0.2740,0.2688,0.2627,0.2580,0.2620, 0.3302,0.3062,0.2799,0.2631,0.2573,0.2533,0.2504,0.2544, 0.3343,0.2959,0.2705,0.2540,0.2504,0.2464,0.2448,0.2462, 0.3460,0.2845,0.2624,0.2463,0.2425,0.2385,0.2373,0.2422, 0.3857,0.2860,0.2578,0.2399,0.2357,0.2327,0.2312,0.2351, 0.3976,0.2860,0.2607,0.2356,0.2297,0.2268,0.2241,0.2320 }; Handle<Quote> s0(boost::shared_ptr<Quote>(new SimpleQuote(4468.17))); Real strike[] = { 3400,3600,3800,4000,4200,4400, 4500,4600,4800,5000,5200,5400,5600 }; std::vector<boost::shared_ptr<CalibrationHelper> > options; for (Size s = 0; s < 13; ++s) { for (Size m = 0; m < 8; ++m) { Handle<Quote> vol(boost::shared_ptr<Quote>( new SimpleQuote(v[s*8+m]))); Period maturity((int)((t[m]+3)/7.), Weeks); // round to weeks options.push_back(boost::shared_ptr<CalibrationHelper>( new HestonModelHelper(maturity, calendar, s0->value(), strike[s], vol, riskFreeTS, dividendTS, CalibrationHelper::ImpliedVolError))); } } const Real v0=0.1; const Real kappa=1.0; const Real theta=0.1; const Real sigma=0.5; const Real rho=-0.5; boost::shared_ptr<HestonProcess> process(new HestonProcess( riskFreeTS, dividendTS, s0, v0, kappa, theta, sigma, rho)); boost::shared_ptr<HestonModel> model(new HestonModel(process)); boost::shared_ptr<PricingEngine> engine( new AnalyticHestonEngine(model, 64)); for (i = 0; i < options.size(); ++i) options[i]->setPricingEngine(engine); LevenbergMarquardt om(1e-8, 1e-8, 1e-8); model->calibrate(options, om, EndCriteria(400, 40, 1.0e-8, 1.0e-8, 1.0e-8)); Date today = Date::todaysDate(); DayCounter dc = Actual360(); boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(60.0)); boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.04)); boost::shared_ptr<YieldTermStructure> qTS = flatRate(today, qRate, dc); boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.08)); boost::shared_ptr<YieldTermStructure> rTS = flatRate(today, rRate, dc); boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.30)); boost::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc); std::vector<Date> reset; reset.push_back(today + 90); Date maturity = today + 360; Option::Type type = Option::Call; Real moneyness = 1.1; boost::shared_ptr<PercentageStrikePayoff> payoff( new PercentageStrikePayoff(type, moneyness)); boost::shared_ptr<EuropeanExercise> exercise( new EuropeanExercise(maturity)); CliquetOption option1(payoff, exercise, reset); option1.setPricingEngine(engine); Real ff = option1.NPV() -- Regards, Animesh Saxena (http://quantanalysis.wordpress.com) Ph: (+91)9920098221 ------------------------------------------------------------------------------ This SF.net Dev2Dev email is sponsored by: Show off your parallel programming skills. Enter the Intel(R) Threading Challenge 2010. http://p.sf.net/sfu/intel-thread-sfd _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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On Sat, 2010-09-04 at 03:32 +0530, animesh saxena wrote:
> > I have taken the code from test-suite. Basically some form Cliquet and > some from Heston. I wanted to pricing Cliquet option using Heston > Process. If I simply use CliquetOption and setPricingEngine to > AnalyticHestonEngine then it's giving ABORT SIGNAL. Can anyone help me > with this?? There's a rather tight coupling between instruments and engines. The AnalyticHestonEngine calculates the price of vanilla call/put options and won't work with cliquet options (it doesn't know the formula for those.) Luigi -- Always code as if the guy who ends up maintaining your code will be a violent psychopath who knows where you live. -- Martin Golding ------------------------------------------------------------------------------ Automate Storage Tiering Simply Optimize IT performance and efficiency through flexible, powerful, automated storage tiering capabilities. View this brief to learn how you can reduce costs and improve performance. http://p.sf.net/sfu/dell-sfdev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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