FDDividendEngineShiftScale class
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FDDividendEngineShiftScale class
 
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Hello everybody! Currently, i try to implement FD Framework for american option valuation (on stock with dividends), and then use it for single barrier option pricing. I use FDDividendEngineShiftScale and unfortunately found that results are absolutly unreliable. The main function, which is used for calculation, is FDMultiPeriodEngine:: calculate() (it's the parent class). Have anybody checked the correctness of this function? For proper valuation i've changed the declaration of used class: class FDDividendEngineShiftScale : public DividendVanillaOption::engine, FDDividendEngineBase it's necessary for DividendVanillaOption.setPricingEngine initialization, and added calculate() function description: void calculate() const { setupArguments(&arguments_); FDMultiPeriodEngine::calculate(&results_); } Also i've changed condition engine to FDAmericanCondition and added another constructor for AmericanExercise class (it's already documented): AmericanExercise::AmericanExercise(const Date& latestDate, bool payoffAtExpiry) : EarlyExercise(American, payoffAtExpiry) { dates_ = std::vector<Date>(1, latestDate); } That's all. Maybe i should do some other steps to achieve correct results? Thanks in advance. Andrew. P.S i work with QuantLib 0.9.0 version -- View this message in context: http://www.nabble.com/FDDividendEngineShiftScale-class-tp20459579p20459579.html Sent from the quantlib-dev mailing list archive at Nabble.com. ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: FDDividendEngineShiftScale class
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On Wed, 2008-11-12 at 04:43 -0800, a.p. wrote:
> For proper valuation i've changed the declaration of used class: > class FDDividendEngineShiftScale : public DividendVanillaOption::engine, > FDDividendEngineBase > it's necessary for DividendVanillaOption.setPricingEngine initialization, > and added calculate() function description: Andrew, I'm not very familiar with those classes, but did you try the engines in <ql/pricingengines/vanilla/fddividendamericanengine.hpp>? Luigi -- It is better to know some of the questions than all of the answers. -- James Thurber ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: FDDividendEngineShiftScale class
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Dear, Luigi, thanks for reply, but i wish my message had deleted (moreover i deleted it via nabble.com), cause i found an error in my code :) These classes work perfectly, i've checked it.
Initially i didn't find FDDividendAmericanEngine, but it implements all my efforts and changes by using FDEngineAdapter, so now i work with this class. Who's the developer of these classes and with whom i could consult about their usage?
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Re: FDDividendEngineShiftScale class
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On Sun, 2008-11-16 at 12:00 -0800, a.p. wrote:
> Initially i didn't find FDDividendAmericanEngine, but it implements all my > efforts and changes by using FDEngineAdapter, so now i work with this class. > Who's the developer of these classes and with whom i could consult about > their usage? They were developed by Joseph Wang. If you have questions, the best thing is to post them on this list; see <http://quantlib.org/faq.shtml#General questions0>. Luigi -- Quote me as saying I was misquoted. -- Groucho Marx ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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