Pointer Casting

Posted by animesh on Aug 31, 2010; 12:17pm
URL: http://quantlib.414.s1.nabble.com/Himalayan-Option-Worries-tp6914p6915.html

I located the error in the code. I think this is probably due to design.
Generally people would like to price options using different processes. For example Himalayan Option is priced using BlackScholes process in the example. When I change it to another process like Merton76Process (which also is Stochastic1D - as per the guidelines), I should be able to price it. The error is when it delegates to casting to generalized Black Scholes process, the following code in file mchimalayaengine.hpp.

    template <class RNG, class S>
    inline
    boost::shared_ptr<typename MCHimalayaEngine<RNG,S>::path_pricer_type>
    MCHimalayaEngine<RNG,S>::pathPricer() const {

        boost::shared_ptr<GeneralizedBlackScholesProcess> process =
            boost::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(
                                                      processes_->process(0));
        QL_REQUIRE(process, "Black-Scholes process required");

        return boost::shared_ptr<
                         typename MCHimalayaEngine<RNG,S>::path_pricer_type>(
            new HimalayaMultiPathPricer(arguments_.payoff,
                                        process->riskFreeRate()->discount(
                                           arguments_.exercise->lastDate())));
    }

The cast is throwing the error. If I change it to "STATIC CAST", the error is gone!
        boost::shared_ptr<GeneralizedBlackScholesProcess> process =
            boost::static_pointer_cast<GeneralizedBlackScholesProcess>(
                                                      processes_->process(0));

The developer's might have better suggestions. Any views on this?? Is this a design problem?
Thanks in advance.


On 8/31/10 1:57 AM, animesh saxena wrote:

 Below is the sample code for Himalayan Option valuation. It works for BlackScholes process but if I change it to slightly fancier Merton76Process (Jumps), it throws out an ugly SIG ABORT exception. Can anyone help me in figuring out the mistake. "Just copy paste the code below to test it out".
Thanks in advance!

Date today = Settings::instance().evaluationDate();

    DayCounter dc = Actual360();
    std::vector<Date> fixingDates;
    for (Size i=0; i<5; ++i)
        fixingDates.push_back(today+i*90);

    Real strike = 100.0;
    HimalayaOption option(fixingDates, strike);

    Handle<YieldTermStructure> riskFreeRate(flatRate(today, 0.05, dc));

    std::vector<boost::shared_ptr<StochasticProcess1D> > processes(4);

    boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(100));
    boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.01));
    boost::shared_ptr<YieldTermStructure> qTS = flatRate(today, qRate, dc);
    boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.05));
    boost::shared_ptr<YieldTermStructure> rTS = flatRate(today, rRate, dc);
    boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.20));
    boost::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc);


    boost::shared_ptr<SimpleQuote> jumpIntensity(new SimpleQuote(1));
    boost::shared_ptr<SimpleQuote> meanLogJump(new SimpleQuote(0.2));
    boost::shared_ptr<SimpleQuote> jumpVol(new SimpleQuote(0.2));

   processes[0]= boost::shared_ptr<StochasticProcess1D>(new Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol)));
    processes[1]= boost::shared_ptr<StochasticProcess1D>(new Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol)));
    processes[2]= boost::shared_ptr<StochasticProcess1D>(new Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol)));
    processes[3]= boost::shared_ptr<StochasticProcess1D>(new Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol)));



    Matrix correlation(4,4);
    correlation[0][1] = 0.29;
    correlation[0][2] = 0.29;
    correlation[0][3] = 0.39;
    correlation[1][0] = 0.49;
    correlation[1][2] = 0.59;
    correlation[1][3] = 0.69;

    correlation[2][2] = 0.19;
    correlation[2][3] = 0.29;

    correlation[3][0] = correlation[0][3];
    correlation[3][1] = correlation[1][3];
    correlation[3][2] = correlation[2][3];
    correlation[2][0] = correlation[0][2];
    correlation[2][1] = correlation[1][2];
    correlation[1][1] = 1.00;

    correlation[0][0] = 1.00;
    correlation[3][3] = 1.00;


    BigNatural seed = 42;
    int i_samples;
    i_samples = 4999;
    Size fixedSamples;
    boost::shared_ptr<StochasticProcessArray> process(new StochasticProcessArray(processes, correlation));
    Real value;
    option.setPricingEngine(MakeMCHimalayaEngine<PseudoRandom>(process).withSamples(fixedSamples).withSeed(seed));
    value = option.NPV();

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