Posted by
Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/Re-FdDividendAmericanOptions-tp3468.html
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;
}