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vanilla.cpp

// -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- 
//
// RQuantLib -- R interface to the QuantLib libraries
//
// Copyright (C) 2002 - 2009 Dirk Eddelbuettel <edd@debian.org>
//
// $Id: vanilla.cpp 50 2009-03-04 01:30:15Z edd $
//
// This file is part of the RQuantLib library for GNU R.
// It is made available under the terms of the GNU General Public
// License, version 2, or at your option, any later version,
// incorporated herein by reference.
//
// This program is distributed in the hope that it will be
// useful, but WITHOUT ANY WARRANTY; without even the implied
// warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR
// PURPOSE.  See the GNU General Public License for more
// details.
//
// You should have received a copy of the GNU General Public
// License along with this program; if not, write to the Free
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA

// NB can be build standalone as   PKG_LIBS=-lQuantLib R CMD SHLIB RQuantLib.cc

#include "rquantlib.hpp"

RcppExport  SEXP QL_EuropeanOption(SEXP optionParameters) {

    SEXP rl=R_NilValue;
    char* exceptionMesg=NULL;
  
    try {

        RcppParams rparam(optionParameters);          // Parameter wrapper class

        std::string type = rparam.getStringValue("type");
        double underlying = rparam.getDoubleValue("underlying");
        double strike = rparam.getDoubleValue("strike");
        Spread dividendYield = rparam.getDoubleValue("dividendYield");
        Rate riskFreeRate = rparam.getDoubleValue("riskFreeRate");
        Time maturity = rparam.getDoubleValue("maturity");
        int length = int(maturity*360 + 0.5); // FIXME: this could be better
        double volatility = rparam.getDoubleValue("volatility");
    
        Option::Type optionType=Option::Call;
        if (type=="call") {
            optionType = Option::Call;
        } else if (type=="put") {
            optionType = Option::Put;
        } else {
            throw std::range_error("Unknown option " + type);
        }

        Date today = Date::todaysDate();

        // new framework as per QuantLib 0.3.5
        DayCounter dc = Actual360();
        boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(0.0));
        boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.0));
        boost::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc);
        boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.0));
        boost::shared_ptr<YieldTermStructure> qTS = flatRate(today,qRate,dc);
        boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.0));
        boost::shared_ptr<YieldTermStructure> rTS = flatRate(today,rRate,dc);

        Date exDate = today + length;
        boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exDate));
      
        boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(optionType, strike));
        boost::shared_ptr<VanillaOption> option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);

        spot->setValue(underlying);
        qRate->setValue(dividendYield);
        rRate->setValue(riskFreeRate);
        vol->setValue(volatility);

        RcppResultSet rs;
        rs.add("value", option->NPV());
        rs.add("delta", option->delta());
        rs.add("gamma", option->gamma());
        rs.add("vega", option->vega());
        rs.add("theta", option->theta());
        rs.add("rho", option->rho());
        rs.add("divRho", option->dividendRho());
        rs.add("parameters", optionParameters, false);
        rl = rs.getReturnList();

    } catch(std::exception& ex) {
        exceptionMesg = copyMessageToR(ex.what());
    } catch(...) {
        exceptionMesg = copyMessageToR("unknown reason");
    }
  
    if(exceptionMesg != NULL)
        error(exceptionMesg);
    
    return rl;
}

RcppExport  SEXP QL_AmericanOption(SEXP optionParameters) {

    SEXP rl=R_NilValue;
    char* exceptionMesg=NULL;
  
    try {

        // Parameter wrapper classes.
        RcppParams rparam(optionParameters);

        std::string type = rparam.getStringValue("type");
        double underlying = rparam.getDoubleValue("underlying");
        double strike = rparam.getDoubleValue("strike");
        Spread dividendYield = rparam.getDoubleValue("dividendYield");
        Rate riskFreeRate = rparam.getDoubleValue("riskFreeRate");
        Time maturity = rparam.getDoubleValue("maturity");
        int length = int(maturity*360 + 0.5); // FIXME: this could be better
        double volatility = rparam.getDoubleValue("volatility");
        
        Option::Type optionType=Option::Call;
        if (type=="call") {
            optionType = Option::Call;
        } else if (type=="put") {
            optionType = Option::Put;
        } else {
            throw std::range_error("Unknown option " + type);
        }


        // new framework as per QuantLib 0.3.5, updated for 0.3.7
        // updated again for 0.9.0, see eg test-suite/americanoption.cpp
        Date today = Date::todaysDate();
        DayCounter dc = Actual360();
        boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(0.0));
        boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.0));
        boost::shared_ptr<YieldTermStructure> qTS = flatRate(today,qRate,dc);
        boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.0));
        boost::shared_ptr<YieldTermStructure> rTS = flatRate(today,rRate,dc);
        boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.0));
        boost::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc);

        boost::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(optionType, strike));

        Date exDate = today + length;
        boost::shared_ptr<Exercise> exercise(new AmericanExercise(today, exDate));

        spot->setValue(underlying);
        qRate->setValue(dividendYield);
        rRate->setValue(riskFreeRate);
        vol->setValue(volatility);

        boost::shared_ptr<BlackScholesMertonProcess> 
            stochProcess(new BlackScholesMertonProcess(Handle<Quote>(spot),
                                                       Handle<YieldTermStructure>(qTS),
                                                       Handle<YieldTermStructure>(rTS),
                                                       Handle<BlackVolTermStructure>(volTS)));
        // new from 0.3.7 BaroneAdesiWhaley
        boost::shared_ptr<PricingEngine> engine(new BaroneAdesiWhaleyApproximationEngine(stochProcess));

        VanillaOption option(payoff, exercise);
        option.setPricingEngine(engine);
                                                
        RcppResultSet rs;
        rs.add("value", option.NPV());
        rs.add("delta", R_NaN);
        rs.add("gamma", R_NaN);
        rs.add("vega", R_NaN);
        rs.add("theta", R_NaN);
        rs.add("rho", R_NaN);
        rs.add("divRho", R_NaN);
        rs.add("parameters", optionParameters, false);
        rl = rs.getReturnList();

    } catch(std::exception& ex) {
        exceptionMesg = copyMessageToR(ex.what());
    } catch(...) {
        exceptionMesg = copyMessageToR("unknown reason");
    }
  
    if(exceptionMesg != NULL)
        error(exceptionMesg);
    
  return rl;
}


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