added pricing engines for spread- and basket options (#2110)

lballabio · Nov 12, 2024 · 266c3d3 · 266c3d3
2 parents 585bb09 + 4529267
commit 266c3d3
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Showing 47 changed files with 4,284 additions and 96 deletions.
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -1066,6 +1066,7 @@
     <ClInclude Include="ql\math\matrixutilities\factorreduction.hpp" />
     <ClInclude Include="ql\math\matrixutilities\getcovariance.hpp" />
     <ClInclude Include="ql\math\matrixutilities\gmres.hpp" />
+    <ClInclude Include="ql\math\matrixutilities\householder.hpp" />
     <ClInclude Include="ql\math\matrixutilities\pseudosqrt.hpp" />
     <ClInclude Include="ql\math\matrixutilities\qrdecomposition.hpp" />
     <ClInclude Include="ql\math\matrixutilities\sparseilupreconditioner.hpp" />
@@ -1137,6 +1138,7 @@
     <ClInclude Include="ql\math\solvers1d\brent.hpp" />
     <ClInclude Include="ql\math\solvers1d\falseposition.hpp" />
     <ClInclude Include="ql\math\solvers1d\finitedifferencenewtonsafe.hpp" />
+    <ClInclude Include="ql\math\solvers1d\halley.hpp" />
     <ClInclude Include="ql\math\solvers1d\newton.hpp" />
     <ClInclude Include="ql\math\solvers1d\newtonsafe.hpp" />
     <ClInclude Include="ql\math\solvers1d\ridder.hpp" />
@@ -1198,6 +1200,7 @@
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearopiterator.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearoplayout.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlocalvolfwdop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmwienerop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmornsteinuhlenbeckop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmsabrop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmsquarerootfwdop.hpp" />
@@ -1495,11 +1498,19 @@
     <ClInclude Include="ql\pricingengines\barrier\fdhestonrebateengine.hpp" />
     <ClInclude Include="ql\pricingengines\barrier\mcbarrierengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\all.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\bjerksundstenslandspreadengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\choibasketengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\denglizhoubasketengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\fdndimblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\kirkengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\mcamericanbasketengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\mceuropeanbasketengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\operatorsplittingspreadengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\singlefactorbsmbasketengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\spreadblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\basket\stulzengine.hpp" />
+    <ClInclude Include="ql\pricingengines\basket\vectorbsmprocessextractor.hpp" />
     <ClInclude Include="ql\pricingengines\blackcalculator.hpp" />
     <ClInclude Include="ql\pricingengines\blackformula.hpp" />
     <ClInclude Include="ql\pricingengines\blackscholescalculator.hpp" />
@@ -2271,6 +2282,7 @@
     <ClCompile Include="ql\math\matrixutilities\factorreduction.cpp" />
     <ClCompile Include="ql\math\matrixutilities\getcovariance.cpp" />
     <ClCompile Include="ql\math\matrixutilities\gmres.cpp" />
+    <ClCompile Include="ql\math\matrixutilities\householder.cpp" />
     <ClCompile Include="ql\math\matrixutilities\pseudosqrt.cpp" />
     <ClCompile Include="ql\math\matrixutilities\qrdecomposition.cpp" />
     <ClCompile Include="ql\math\matrixutilities\sparseilupreconditioner.cpp" />
@@ -2344,6 +2356,7 @@
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmlinearoplayout.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmlocalvolfwdop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmwienerop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmornsteinuhlenbeckop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmsabrop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmsquarerootfwdop.cpp" />
@@ -2555,11 +2568,19 @@
     <ClCompile Include="ql\pricingengines\barrier\fdhestondoublebarrierengine.cpp" />
     <ClCompile Include="ql\pricingengines\barrier\fdhestonrebateengine.cpp" />
     <ClCompile Include="ql\pricingengines\barrier\mcbarrierengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\bjerksundstenslandspreadengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\choibasketengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\denglizhoubasketengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\fd2dblackscholesvanillaengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\fdndimblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\kirkengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\mcamericanbasketengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\mceuropeanbasketengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\operatorsplittingspreadengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\singlefactorbsmbasketengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\spreadblackscholesvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\basket\stulzengine.cpp" />
+    <ClCompile Include="ql\pricingengines\basket\vectorbsmprocessextractor.cpp" />
     <ClCompile Include="ql\pricingengines\blackcalculator.cpp" />
     <ClCompile Include="ql\pricingengines\blackformula.cpp" />
     <ClCompile Include="ql\pricingengines\blackscholescalculator.cpp" />

diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ItemGroup>
     <Natvis Include="QuantLib.natvis" />
@@ -4413,6 +4413,39 @@
     <ClInclude Include="ql\indexes\ibor\swestr.hpp">
       <Filter>indexes\ibor</Filter>
     </ClInclude>
+    <ClInclude Include="ql\math\matrixutilities\householder.hpp">
+      <Filter>math\matrixutilities</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\math\solvers1d\halley.hpp">
+      <Filter>math\solvers1D</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmwienerop.hpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\bjerksundstenslandspreadengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\choibasketengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\denglizhoubasketengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\fdndimblackscholesvanillaengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\operatorsplittingspreadengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\singlefactorbsmbasketengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\spreadblackscholesvanillaengine.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\pricingengines\basket\vectorbsmprocessextractor.hpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClInclude>
   </ItemGroup>
   <ItemGroup>
     <ClCompile Include="ql\methods\montecarlo\brownianbridge.cpp">
@@ -7161,5 +7194,35 @@
     <ClCompile Include="ql\time\daycounters\yearfractiontodate.cpp">
       <Filter>time\daycounters</Filter>
     </ClCompile>
+    <ClCompile Include="ql\math\matrixutilities\householder.cpp">
+      <Filter>math\matrixutilities</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmwienerop.cpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\bjerksundstenslandspreadengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\choibasketengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\denglizhoubasketengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\fdndimblackscholesvanillaengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\operatorsplittingspreadengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\singlefactorbsmbasketengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\spreadblackscholesvanillaengine.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\pricingengines\basket\vectorbsmprocessextractor.cpp">
+      <Filter>pricingengines\basket</Filter>
+    </ClCompile>
   </ItemGroup>
-</Project>
+</Project>
diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
@@ -385,6 +385,7 @@ set(QL_SOURCES
     math/matrixutilities/factorreduction.cpp
     math/matrixutilities/getcovariance.cpp
     math/matrixutilities/gmres.cpp
+    math/matrixutilities/householder.cpp        
     math/matrixutilities/pseudosqrt.cpp
     math/matrixutilities/qrdecomposition.cpp
     math/matrixutilities/sparseilupreconditioner.cpp
@@ -461,6 +462,7 @@ set(QL_SOURCES
     methods/finitedifferences/operators/fdmornsteinuhlenbeckop.cpp
     methods/finitedifferences/operators/fdmsabrop.cpp
     methods/finitedifferences/operators/fdmsquarerootfwdop.cpp
+    methods/finitedifferences/operators/fdmwienerop.cpp
     methods/finitedifferences/operators/firstderivativeop.cpp
     methods/finitedifferences/operators/ninepointlinearop.cpp
     methods/finitedifferences/operators/nthorderderivativeop.cpp
@@ -672,10 +674,18 @@ set(QL_SOURCES
     pricingengines/barrier/fdhestondoublebarrierengine.cpp
     pricingengines/barrier/fdhestonrebateengine.cpp
     pricingengines/barrier/mcbarrierengine.cpp
+    pricingengines/basket/bjerksundstenslandspreadengine.cpp
+    pricingengines/basket/choibasketengine.cpp
+    pricingengines/basket/vectorbsmprocessextractor.cpp
+    pricingengines/basket/denglizhoubasketengine.cpp
     pricingengines/basket/fd2dblackscholesvanillaengine.cpp
+    pricingengines/basket/fdndimblackscholesvanillaengine.cpp
     pricingengines/basket/kirkengine.cpp
     pricingengines/basket/mcamericanbasketengine.cpp
     pricingengines/basket/mceuropeanbasketengine.cpp
+    pricingengines/basket/operatorsplittingspreadengine.cpp
+    pricingengines/basket/singlefactorbsmbasketengine.cpp
+    pricingengines/basket/spreadblackscholesvanillaengine.cpp
     pricingengines/basket/stulzengine.cpp
     pricingengines/blackcalculator.cpp
     pricingengines/blackformula.cpp
@@ -1468,6 +1478,7 @@ set(QL_HEADERS
     math/matrixutilities/expm.hpp
     math/matrixutilities/getcovariance.hpp
     math/matrixutilities/gmres.hpp
+    math/matrixutilities/householder.hpp    
     math/matrixutilities/pseudosqrt.hpp
     math/matrixutilities/qrdecomposition.hpp
     math/matrixutilities/sparseilupreconditioner.hpp
@@ -1535,6 +1546,7 @@ set(QL_HEADERS
     math/solvers1d/brent.hpp
     math/solvers1d/falseposition.hpp
     math/solvers1d/finitedifferencenewtonsafe.hpp
+    math/solvers1d/halley.hpp
     math/solvers1d/newton.hpp
     math/solvers1d/newtonsafe.hpp
     math/solvers1d/ridder.hpp
@@ -1595,6 +1607,7 @@ set(QL_HEADERS
     methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp
     methods/finitedifferences/operators/fdmsabrop.hpp
     methods/finitedifferences/operators/fdmsquarerootfwdop.hpp
+    methods/finitedifferences/operators/fdmwienerop.hpp    
     methods/finitedifferences/operators/firstderivativeop.hpp
     methods/finitedifferences/operators/modtriplebandlinearop.hpp
     methods/finitedifferences/operators/ninepointlinearop.hpp
@@ -1865,10 +1878,18 @@ set(QL_HEADERS
     pricingengines/barrier/fdhestondoublebarrierengine.hpp
     pricingengines/barrier/fdhestonrebateengine.hpp
     pricingengines/barrier/mcbarrierengine.hpp
+    pricingengines/basket/bjerksundstenslandspreadengine.hpp
+    pricingengines/basket/choibasketengine.hpp
+    pricingengines/basket/vectorbsmprocessextractor.hpp
+    pricingengines/basket/denglizhoubasketengine.hpp
     pricingengines/basket/fd2dblackscholesvanillaengine.hpp
+    pricingengines/basket/fdndimblackscholesvanillaengine.hpp    
     pricingengines/basket/kirkengine.hpp
     pricingengines/basket/mcamericanbasketengine.hpp
     pricingengines/basket/mceuropeanbasketengine.hpp
+    pricingengines/basket/operatorsplittingspreadengine.hpp
+    pricingengines/basket/singlefactorbsmbasketengine.hpp
+    pricingengines/basket/spreadblackscholesvanillaengine.hpp
     pricingengines/basket/stulzengine.hpp
     pricingengines/blackcalculator.hpp
     pricingengines/blackformula.hpp

diff --git a/ql/instruments/basketoption.hpp b/ql/instruments/basketoption.hpp
@@ -69,8 +69,8 @@ namespace QuantLib {
 
     class AverageBasketPayoff : public BasketPayoff {
       public:
-        AverageBasketPayoff(const ext::shared_ptr<Payoff>& p, Array a)
-        : BasketPayoff(p), weights_(std::move(a)) {}
+        AverageBasketPayoff(const ext::shared_ptr<Payoff>& p, Array weights)
+        : BasketPayoff(p), weights_(std::move(weights)) {}
         AverageBasketPayoff(const ext::shared_ptr<Payoff> &p,
                             Size n)
         : BasketPayoff(p), weights_(n, 1.0/static_cast<Real>(n)) {}
@@ -80,6 +80,8 @@ namespace QuantLib {
                                       a.begin(), Real(0.0));
         }
 
+        const Array& weights() const { return weights_; }
+
       private:
         Array weights_;
     };

diff --git a/ql/math/integrals/gaussianquadratures.cpp b/ql/math/integrals/gaussianquadratures.cpp
@@ -27,6 +27,8 @@
 #include <ql/math/matrixutilities/tqreigendecomposition.hpp>
 #include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>
 
+#include <map>
+
 namespace QuantLib {
 
     GaussianQuadrature::GaussianQuadrature(
@@ -59,6 +61,50 @@ namespace QuantLib {
     }
 
 
+    MultiDimGaussianIntegration::MultiDimGaussianIntegration(
+        const std::vector<Size>& ns,
+        const std::function<ext::shared_ptr<GaussianQuadrature>(Size)>& genQuad)
+    : weights_(std::accumulate(ns.begin(), ns.end(), Size(1), std::multiplies<>()), 1.0),
+      x_(weights_.size(), Array(ns.size())) {
+
+        const Size m = ns.size();
+        const Size n = x_.size();
+
+        std::vector<Size> spacing(m);
+        spacing[0] = 1;
+        std::partial_sum(ns.begin(), ns.end()-1, spacing.begin()+1, std::multiplies<>());
+
+        std::map<Size, Array> n2weights, n2x;
+        for (auto order: ns) {
+            if (n2x.find(order) == n2x.end()) {
+                const ext::shared_ptr<GaussianQuadrature> quad = genQuad(order);
+                n2x[order] = quad->x();
+                n2weights[order] = quad->weights();
+            }
+        }
+
+        for (Size i=0; i < n; ++i) {
+            for (Size j=0; j < m; ++j) {
+                const Size order = ns[j];
+                const Size nx = (i / spacing[j]) % ns[j];
+                weights_[i] *= n2weights[order][nx];
+                x_[i][j] = n2x[order][nx];
+            }
+        }
+    }
+
+    Real MultiDimGaussianIntegration::operator()(
+        const std::function<Real(Array)>& f) const {
+        Real s = 0.0;
+        const Size n = x_.size();
+        for (Size i=0; i < n; ++i)
+            s += weights_[i]*f(x_[i]);
+
+        return s;
+    }
+
+
+
     namespace detail {
         template <class Integration>
         GaussianQuadratureIntegrator<Integration>::GaussianQuadratureIntegrator(

diff --git a/ql/math/integrals/gaussianquadratures.hpp b/ql/math/integrals/gaussianquadratures.hpp
@@ -76,6 +76,22 @@ namespace QuantLib {
         Array x_, w_;
     };
 
+    class MultiDimGaussianIntegration {
+      public:
+        MultiDimGaussianIntegration(
+            const std::vector<Size>& ns,
+            const std::function<ext::shared_ptr<GaussianQuadrature>(Size)>& genQuad);
+
+        Real operator()(const std::function<Real(Array)>& f) const;
+
+        const Array& weights() const { return weights_; }
+        const std::vector<Array>& x() const { return x_; }
+
+      private:
+        Array weights_;
+        std::vector<Array> x_;
+    };
+
 
     //! generalized Gauss-Laguerre integration
     /*! This class performs a 1-dimensional Gauss-Laguerre integration.

diff --git a/ql/math/interpolations/chebyshevinterpolation.hpp b/ql/math/interpolations/chebyshevinterpolation.hpp
@@ -30,8 +30,6 @@
 
 
 namespace QuantLib {
-    class LagrangeInterpolation;
-
     /*! References:
         S.A. Sarra: Chebyshev Interpolation: An Interactive Tour,
         https://www.maa.org/sites/default/files/images/upload_library/4/vol6/Sarra/Chebyshev.html
@@ -47,6 +45,9 @@ namespace QuantLib {
             Size n, const std::function<Real(Real)>& f,
             PointsType pointsType = SecondKind);
 
+        explicit ChebyshevInterpolation(const ChebyshevInterpolation&) = delete;
+        ChebyshevInterpolation& operator=(const ChebyshevInterpolation&) = delete;
+
         void updateY(const Array& y);
 
         Array nodes() const;
@@ -55,7 +56,6 @@ namespace QuantLib {
       private:
         const Array x_;
         Array y_;
-        ext::shared_ptr<LagrangeInterpolation> lagrangeInterp_;
     };
 }
 

diff --git a/ql/math/matrixutilities/Makefile.am b/ql/math/matrixutilities/Makefile.am
@@ -11,6 +11,7 @@ this_include_HEADERS = \
 	factorreduction.hpp \
 	getcovariance.hpp \
 	gmres.hpp \
+	householder.hpp \
 	pseudosqrt.hpp \
 	qrdecomposition.hpp \
 	sparseilupreconditioner.hpp \
@@ -28,6 +29,7 @@ cpp_files = \
 	factorreduction.cpp \
 	getcovariance.cpp \
 	gmres.cpp \
+	householder.cpp \
 	pseudosqrt.cpp \
 	qrdecomposition.cpp \
 	sparseilupreconditioner.cpp \

diff --git a/ql/math/matrixutilities/all.hpp b/ql/math/matrixutilities/all.hpp
@@ -8,6 +8,7 @@
 #include <ql/math/matrixutilities/factorreduction.hpp>
 #include <ql/math/matrixutilities/getcovariance.hpp>
 #include <ql/math/matrixutilities/gmres.hpp>
+#include <ql/math/matrixutilities/householder.hpp>
 #include <ql/math/matrixutilities/pseudosqrt.hpp>
 #include <ql/math/matrixutilities/qrdecomposition.hpp>
 #include <ql/math/matrixutilities/sparseilupreconditioner.hpp>