http://quantlib.414.s1.nabble.com/Question-on-registerWith-for-evaluationDates-tp6582.html
I have the simple problem of trying to change the evaluation date for a basic option. For some reason I cannot seem to set the observer to work properly. I want to work out the price of an option on 15 May 2009 and 10 May 2010. The option expires on 17 May 2010.
If I set the evaluation date to after expiry I (rightly) get the value of the option to be 0.
Here is some code which I have. How can I fix/understand this?
#include <ql/quantlib.hpp>
#include <iostream>
using namespace QuantLib;
int main(int, char* [])
{
std::cout << std::endl;
// set up dates
Calendar calendar = TARGET();
Date todaysDate(15, May, 2009);
Settings::instance().evaluationDate() = todaysDate;
Date settlementDate(17, May, 2009);
Date maturity(17, May, 2010);
DayCounter dayCounter = Actual365Fixed();
// option parameters
Option::Type type(Option::Call);
Real underlying = 40;
Real strike = 40;
Spread dividendYield = 0.00;
Rate riskFreeRate = 0.06;
Volatility volatility = 0.1;
//basic option
boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(type, strike));
boost::shared_ptr<Exercise> europeanExercise(new EuropeanExercise(maturity));
VanillaOption europeanOption(payoff, europeanExercise);
//Handle setups
Handle<Quote> underlyingH(boost::shared_ptr<Quote>(new SimpleQuote(underlying)));
Handle<YieldTermStructure> flatTermStructure(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate,
riskFreeRate,
dayCounter)));
Handle<YieldTermStructure> flatDividendTS(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate,
dividendYield,
dayCounter)));
Handle<BlackVolTermStructure> flatVolTS(
boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(settlementDate,
calendar,
volatility,
dayCounter)));
boost::shared_ptr<BlackScholesMertonProcess> bsmProcess(
new BlackScholesMertonProcess(underlyingH,
flatDividendTS,
flatTermStructure,
flatVolTS));
boost::shared_ptr<PricingEngine> analyticEngine(new AnalyticEuropeanEngine(bsmProcess));
europeanOption.setPricingEngine(analyticEngine);
europeanOption.registerWith(Settings::instance().evaluationDate());
std::cout<<"European Option value on 15, May 2009: " << europeanOption.NPV()<<std::endl;
Settings::instance().evaluationDate() = Date(10, May, 2010);
std::cout<<"European Option value on 10 May 2010: " << europeanOption.NPV()<<std::endl;
return 0;
}
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