Class ForwardVanillaEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The forward-start engine for vanilla options: a vanilla engine run on the forward process from the reset date, at the moneyness times the spot, its results discounted on the dividend curve to the reset date.

public class ForwardVanillaEngine

Inheritance

object

ForwardVanillaEngine

Derived

ForwardPerformanceVanillaEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An extension point, as QuantLib's template: ForwardPerformanceVanillaEngine derives it and overrides OriginalResults(ForwardVanillaOption, OneAssetOptionResults). Immutable; it holds the process and the inner engine, a delegate in the engines' form taking the forward process; the forward process is built per call.

The payoff must be a plain vanilla one: QuantLib builds the inner option's plain vanilla payoff from the payoff's type alone, so a cash-or-nothing forward start prices as the vanilla (Divergences/ForwardNonPlainPayoffTests.cs); it is refused with the text of QuantLib's Monte Carlo forward engines. The vega is the derivative under a parallel shift of the input volatilities, the inner vega in the period's forward volatility times dσ_f/dε, where QuantLib's is the inner vega alone (Divergences/ForwardVegaTermStructureTests.cs): exactly QuantLib's where the volatilities at the reset and at expiry are equal. The dividend rate read for the theta is on the process's clock (Clock(GeneralizedBlackScholesProcess, FdmQuantoHelper?)), each curve read by date, and the dividend rho's reset term on the dividend curve's own time, the derivative of its zero rates (Divergences/ExoticMismatchedTimesTests.cs); on structures dated alike, QuantLib's reads.

Constructors

ForwardVanillaEngine(GeneralizedBlackScholesProcess, Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults>)

Initializes a new instance of the ForwardVanillaEngine class.

public ForwardVanillaEngine(GeneralizedBlackScholesProcess process, Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults> engine)

Parameters

process GeneralizedBlackScholesProcess

The underlying's process.

engine Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults>

The vanilla engine run on the forward process.

Exceptions

ArgumentNullException

An argument is null.

Properties

Engine

Gets the vanilla engine run on the forward process.

protected Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults> Engine { get; }

Property Value

Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults>

Process

Gets the underlying's process.

protected GeneralizedBlackScholesProcess Process { get; }

Property Value

GeneralizedBlackScholesProcess

Methods

Calculate(ForwardVanillaOption, EvaluationContext)

Prices a forward-start option: QuantLib's calculate.

public OneAssetOptionResults Calculate(ForwardVanillaOption option, EvaluationContext context)

Parameters

option ForwardVanillaOption

The option.

context EvaluationContext

The evaluation context.

Returns

OneAssetOptionResults

The option's results; the expired results when it has expired.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

The option's terms are invalid, its payoff isn't plain vanilla, the spot isn't positive, or the inner engine refuses.

Calculate(ForwardVanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults>)

Prices a forward-start option: QuantLib's ForwardVanillaEngine<Engine>.

public static OneAssetOptionResults Calculate(ForwardVanillaOption option, EvaluationContext context, GeneralizedBlackScholesProcess process, Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults> engine)

Parameters

option ForwardVanillaOption

The option.

context EvaluationContext

The evaluation context.

process GeneralizedBlackScholesProcess

The underlying's process.

engine Func<VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, OneAssetOptionResults>

The vanilla engine run on the forward process.

Returns

OneAssetOptionResults

The option's results: the value and the inner engine's Greeks, carried to today.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

The option's terms are invalid, its payoff isn't plain vanilla, the spot isn't positive, or the inner engine refuses.

ForwardProcess(ForwardVanillaOption)

The forward process: QuantLib's setup, the curves and the volatility implied from the reset date.

public GeneralizedBlackScholesProcess ForwardProcess(ForwardVanillaOption option)

Parameters

option ForwardVanillaOption

The forward-start option.

Returns

GeneralizedBlackScholesProcess

The process the inner engine reads.

Exceptions

ArgumentNullException

option is null.

NanoQLException

The spot isn't positive.

OriginalResults(ForwardVanillaOption, OneAssetOptionResults)

The forward-start option's results from the inner engine's: QuantLib's getOriginalResults, with the vega under a parallel shift and the reset term on the dividend curve's own time.

protected virtual OneAssetOptionResults OriginalResults(ForwardVanillaOption option, OneAssetOptionResults originalResults)

Parameters

option ForwardVanillaOption

The forward-start option.

originalResults OneAssetOptionResults

The inner engine's results.

Returns

OneAssetOptionResults

The forward-start option's results.

Exceptions

ArgumentNullException

An argument is null.

ResetRate(YieldTermStructure, ForwardVanillaOption, TermStructure)

A curve's continuous zero rate to the reset: QuantLib's zeroRate(resetDate, dayCounter, Continuous) where the curve shares the clock's times; otherwise the rate of the discount it accrues over the clock's reset time.

protected static double ResetRate(YieldTermStructure curve, ForwardVanillaOption option, TermStructure clock)

Parameters

curve YieldTermStructure

The curve.

option ForwardVanillaOption

The forward-start option.

clock TermStructure

The process's clock.

Returns

double

The rate.

ResetTime(ForwardVanillaOption, TermStructure)

The time to the reset on a curve's own clock, none before its date: the time over which a parallel shift of the curve's zero rates discounts the value to the reset, where QuantLib reads the risk-free curve's year fraction for every curve.

protected static double ResetTime(ForwardVanillaOption option, TermStructure curve)

Parameters

option ForwardVanillaOption

The forward-start option.

curve TermStructure

The curve.

Returns

double

The reset time.

ShiftedVega(ForwardVanillaOption, double)

The vega under a parallel shift of the input volatilities (NanoQL.PricingEngines.ForwardVanillaEngine.ShiftedVega(NanoQL.TermStructures.BlackVolTermStructure,NanoQL.Time.Date,NanoQL.Time.Date,System.Double,System.Boolean,System.Double)) over the option's period, from the reset to expiry, at the inner strike, the period at its forward where the spot's forward over it is close to that strike.

protected double ShiftedVega(ForwardVanillaOption option, double innerVega)

Parameters

option ForwardVanillaOption

The forward-start option.

innerVega double

The inner engine's vega.

Returns

double

The shifted vega.

Underlying(ForwardVanillaOption)

The inner vanilla option: QuantLib's setup, the plain vanilla payoff at the moneyness times the spot.

public VanillaOption Underlying(ForwardVanillaOption option)

Parameters

option ForwardVanillaOption

The forward-start option.

Returns

VanillaOption

The vanilla option the inner engine prices.

Exceptions

ArgumentNullException

option is null.

NanoQLException

The payoff isn't plain vanilla.