barrier options greeks lead to seg.fault.

[Dirk Eddelbuettel]

Hi all,

I spent some time rolling my RQuantLib package forward to new 0.3.5
standards. I generally followed the code I saw in test-suite. All in all,
things seems to be working now, and I am starting to get the hang of the
design: bloody elegant if I dare say so!  

One problem, though, seems to be that I no longer get greeks for barriers:

edd@basebud:/tmp> g++ -Wall -o barrier_blows_up barrier_blows_up.cc -lQuantLib
edd@basebud:/tmp> ./barrier_blows_up
Value: 3.73825
Aborted (core dumped)
edd@basebud:/tmp>

which happens as soon as I call   barrierOption.delta()  I tried both the
default engine and the MC engine, but no luck.

A full example, trimmed down from the R interface code I had, is included.
I probably am doing something wromg. Just let me know what :)

Dirk


#include <ql/quantlib.hpp> // make QuantLib known

using namespace QuantLib;

extern "C" {

  Handle<TermStructure> makeFlatCurve(const Handle<Quote>& forward,
                                      DayCounter dc) {
    Date today = Date::todaysDate();
    return Handle<TermStructure>(
         new FlatForward(today, today,
                         RelinkableHandle<Quote>(forward), dc));
  }

  Handle<BlackVolTermStructure> makeFlatVolatility(const Handle<Quote>& vol,
                                                     DayCounter dc) {
    Date today = Date::todaysDate();
    return Handle<BlackVolTermStructure>(
         new BlackConstantVol(today,
                              RelinkableHandle<Quote>(vol), dc));
  }

  int main(void) {

    char *barrType = "downin";
    char *type = "call";
    double underlying = 100;
    double strike = 100;
    Spread dividendYield = 0.02;
    Rate riskFreeRate = 0.03;
    Time maturity = 0.5;
    int length = int(maturity * 360); // FIXME: this could be better
    double volatility = 0.4;
    double barrier = 90;
    double rebate = 0.0;

    Barrier::Type barrierType;
    if (!strcmp(barrType, "downin")) {
      barrierType = Barrier::DownIn;
    } else if (!strcmp(barrType, "upin")) {
      barrierType = Barrier::UpIn;
    } else if (!strcmp(barrType, "downout")) {
      barrierType = Barrier::DownOut;
    } else if (!strcmp(barrType, "upout")) {
      barrierType = Barrier::UpOut;
    } else {
      std::cerr << "Unexpected barrier type " << barrType << " aborting\n";
    }
    Option::Type optionType;
    if (!strcmp(type, "call")) {
      optionType = Option::Call;
    } else if (!strcmp(type, "put")) {
      optionType = Option::Put;
    } else if (!strcmp(type, "straddle")) {
      optionType = Option::Straddle;
    } else {
      std::cerr << "Unexpected option type " << type << " aborting\n";
    }

    // new QuantLib 0.3.5 framework
    DayCounter dc = Actual360();
    Handle<SimpleQuote> spot(new SimpleQuote(0.0));
    Handle<SimpleQuote> qRate(new SimpleQuote(0.0));
    Handle<TermStructure> qTS = makeFlatCurve(qRate, dc);
    Handle<SimpleQuote> rRate(new SimpleQuote(0.0));
    Handle<TermStructure> rTS = makeFlatCurve(rRate, dc);

    Handle<SimpleQuote> vol(new SimpleQuote(0.0));
    Handle<BlackVolTermStructure> volTS = makeFlatVolatility(vol, dc);

    Date today = Date::todaysDate();

    Date exDate = today.plusDays(length);
    Handle<Exercise> exercise(new EuropeanExercise(exDate));

    spot ->setValue(underlying);
    qRate->setValue(dividendYield);
    rRate->setValue(riskFreeRate);
    vol  ->setValue(volatility);
 
    Handle<StrikedTypePayoff> payoff(new PlainVanillaPayoff(optionType, strike));

    Handle<BlackScholesStochasticProcess>
      stochProcess(new BlackScholesStochasticProcess(
                 RelinkableHandle<Quote>(spot),
                 RelinkableHandle<TermStructure>(qTS),
                 RelinkableHandle<TermStructure>(rTS),
                 RelinkableHandle<BlackVolTermStructure>(volTS)));

    Size timeSteps = 1;
    bool antitheticVariate = false;
    bool controlVariate = false;
    Size requiredSamples = 10000;
    double requiredTolerance = 0.02;
    Size maxSamples = 1000000;
    bool isBiased = false;

    Handle<PricingEngine> engine(new AnalyticBarrierEngine);
    Handle<PricingEngine> mcEngine(
       new MCBarrierEngine<PseudoRandom>(timeSteps, antitheticVariate,
                  controlVariate, requiredSamples,
                                         requiredTolerance, maxSamples,
                                         isBiased, 5));

    BarrierOption barrierOption(barrierType,
                                barrier,
                                rebate,
                                stochProcess,
                                payoff,
                                exercise,
                                //mcEngine);
                                engine);

    std::cout << "Value: " << barrierOption.NPV() << std::endl;
    std::cout << "Delta: " << barrierOption.delta() << std::endl;
    std::cout << "Gamma: " << barrierOption.gamma() << std::endl;
    std::cout << "Vega:  " << barrierOption.vega() << std::endl;
    std::cout << "Theta: " << barrierOption.theta() << std::endl;
    std::cout << "Rho:   " << barrierOption.rho() << std::endl;
    std::cout << "divRho:" << barrierOption.dividendRho() << std::endl;

  }

}


--
The relationship between the computed price and reality is as yet unknown.  
                                             -- From the pac(8) manual page

[Ferdinando M. Ametrano-3]

Hi Dirk

>Nando, Luigi: Any word on my problem with the barrier option?  I had the
>same problem last night with plain American options as soon as I tried any
>of the Greeks. I must be doing something wrong, but still, it shouldn't
>seg.fault, should it?

I hope to be able to take a look at it by the end of the week. Sorry Dirk,
but I'm running short on free-time


ciao -- Nando