Re: FdDividendAmericanOptions

[Joseph Wang]

I've done a comparison and I think that the new code seems to be
working.....

american dividend - assetSteps=20 price=2.18493 delta=0.520894 vega=7.7514
american          - assetSteps=20 price=2.18493 delta=0.520894 vega=7.7514
american dividend - assetSteps=40 price=2.18264 delta=0.519247 vega=7.72734
american          - assetSteps=40 price=2.18264 delta=0.519247 vega=7.72734
american dividend - assetSteps=60 price=2.18264 delta=0.519255 vega=7.72739
american          - assetSteps=60 price=2.18264 delta=0.519255 vega=7.72739
american dividend - assetSteps=70 price=2.18264 delta=0.519258 vega=7.72743
american          - assetSteps=70 price=2.18264 delta=0.519258 vega=7.72743
american dividend - assetSteps=80 price=2.18264 delta=0.519256 vega=7.72749
american          - assetSteps=80 price=2.18264 delta=0.519256 vega=7.72749
american dividend - assetSteps=100 price=2.18263 delta=0.519237 vega=7.72731
american          - assetSteps=100 price=2.18263 delta=0.519237 vega=7.72731

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#include <ql/quantlib.hpp>
#include <iostream>

using namespace std;
using namespace QuantLib;

int main() {
 const unsigned timeSteps = 40;
 vector<unsigned> assetStepsA;
 assetStepsA.push_back(20);
 assetStepsA.push_back(40);
 assetStepsA.push_back(60);
 assetStepsA.push_back(70);
 assetStepsA.push_back(80);
 assetStepsA.push_back(100);

 vector<double> dividendA, dividendTimeA;

 double under=54.625;
 double strike=55;
 double dividendYield=0;
 double interestRate=0.052706;
 double expirationTime=0.126027;
 double sigma=0.282922;


 for (unsigned i=0; i<assetStepsA.size(); i++) {
   const unsigned assetSteps = assetStepsA[i];

   FdDividendAmericanOption opt(Option::Call, under,
                                strike,
                                dividendYield, interestRate,
                                expirationTime, sigma,
                                dividendA, dividendTimeA,
                                timeSteps, assetSteps);


   FdAmericanOption opt1(Option::Call, under,
                                strike,
                                dividendYield, interestRate,
                                expirationTime, sigma,
                                timeSteps, assetSteps);


   cout << "american dividend - assetSteps=" << assetSteps
        << " price=" << opt.value()
        << " delta=" << opt.delta()
        << " vega=" << opt.vega()
        << "\n";

   cout << "american          - assetSteps=" << assetSteps
        << " price=" << opt1.value()
        << " delta=" << opt1.delta()
        << " vega=" << opt1.vega()
        << "\n";


 }

 return 0;
}