Move compound option from experimental to core

lballabio · Aug 24, 2023 · 5dfcdca · 5dfcdca
1 parent bd88e67
commit 5dfcdca
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Showing 18 changed files with 209 additions and 147 deletions.
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -910,6 +910,7 @@
     <ClInclude Include="ql\instruments\claim.hpp" />
     <ClInclude Include="ql\instruments\cliquetoption.hpp" />
     <ClInclude Include="ql\instruments\compositeinstrument.hpp" />
+    <ClInclude Include="ql\instruments\compoundoption.hpp" />
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
     <ClInclude Include="ql\instruments\cpiswap.hpp" />
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp" />
@@ -1529,6 +1530,7 @@
     <ClInclude Include="ql\pricingengines\credit\midpointcdsengine.hpp" />
     <ClInclude Include="ql\pricingengines\exotic\all.hpp" />
     <ClInclude Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.hpp" />
+    <ClInclude Include="ql\pricingengines\exotic\analyticcompoundoptionengine.hpp" />
     <ClInclude Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.hpp" />
     <ClInclude Include="ql\pricingengines\forward\all.hpp" />
     <ClInclude Include="ql\pricingengines\forward\forwardengine.hpp" />
@@ -2018,7 +2020,6 @@
     <ClCompile Include="ql\experimental\credit\riskyassetswapoption.cpp" />
     <ClCompile Include="ql\experimental\credit\syntheticcdo.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticcomplexchooserengine.cpp" />
-    <ClCompile Include="ql\experimental\exoticoptions\analyticcompoundoptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticholderextensibleoptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticpartialtimebarrieroptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticpdfhestonengine.cpp" />
@@ -2027,7 +2028,6 @@
     <ClCompile Include="ql\experimental\exoticoptions\analytictwoassetcorrelationengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\complexchooseroption.cpp" />
-    <ClCompile Include="ql\experimental\exoticoptions\compoundoption.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\continuousarithmeticasianvecerengine.cpp" />
     <ClCompile Include="ql\experimental\exoticoptions\everestoption.cpp" />
@@ -2172,6 +2172,7 @@
     <ClCompile Include="ql\instruments\claim.cpp" />
     <ClCompile Include="ql\instruments\cliquetoption.cpp" />
     <ClCompile Include="ql\instruments\compositeinstrument.cpp" />
+    <ClCompile Include="ql\instruments\compoundoption.cpp" />
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
     <ClCompile Include="ql\instruments\cpiswap.cpp" />
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp" />
@@ -2586,6 +2587,7 @@
     <ClCompile Include="ql\pricingengines\credit\isdacdsengine.cpp" />
     <ClCompile Include="ql\pricingengines\credit\midpointcdsengine.cpp" />
     <ClCompile Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.cpp" />
+    <ClCompile Include="ql\pricingengines\exotic\analyticcompoundoptionengine.cpp" />
     <ClCompile Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.cpp" />
     <ClCompile Include="ql\pricingengines\forward\mcforwardeuropeanbsengine.cpp" />
     <ClCompile Include="ql\pricingengines\forward\mcforwardeuropeanhestonengine.cpp" />

diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
@@ -807,6 +807,9 @@
     <ClInclude Include="ql\instruments\compositeinstrument.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\compoundoption.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -2430,6 +2433,9 @@
     <ClInclude Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.hpp">
       <Filter>pricingengines\exotic</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\exotic\analyticcompoundoptionengine.hpp">
+      <Filter>pricingengines\exotic</Filter>
+    </ClInclude>
     <ClInclude Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.hpp">
       <Filter>pricingengines\exotic</Filter>
     </ClInclude>
@@ -4679,6 +4685,9 @@
     <ClCompile Include="ql\instruments\compositeinstrument.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\compoundoption.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
@@ -5834,6 +5843,9 @@
     <ClCompile Include="ql\pricingengines\exotic\analyticamericanmargrabeengine.cpp">
       <Filter>pricingengines\exotic</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\exotic\analyticcompoundoptionengine.cpp">
+      <Filter>pricingengines\exotic</Filter>
+    </ClCompile>
     <ClCompile Include="ql\pricingengines\exotic\analyticeuropeanmargrabeengine.cpp">
       <Filter>pricingengines\exotic</Filter>
     </ClCompile>
@@ -6602,12 +6614,6 @@
     <ClCompile Include="ql\experimental\barrieroption\vannavolgabarrierengine.cpp">
       <Filter>experimental\barrieroption</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\exoticoptions\analyticcompoundoptionengine.cpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClCompile>
-    <ClCompile Include="ql\experimental\exoticoptions\compoundoption.cpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\inflation\yoycapfloortermpricesurface.cpp">
       <Filter>experimental\inflation</Filter>
     </ClCompile>

diff --git a/cmake/GenerateHeaders.cmake b/cmake/GenerateHeaders.cmake
@@ -54,6 +54,8 @@ function(generate_dir_headers source_dir binary_dir)
         list(FILTER children_hpp EXCLUDE REGEX "margrabeoption.hpp")
         list(FILTER children_hpp EXCLUDE REGEX "analyticamericanmargrabeengine.hpp")
         list(FILTER children_hpp EXCLUDE REGEX "analyticeuropeanmargrabeengine.hpp")
+        list(FILTER children_hpp EXCLUDE REGEX "compoundoption.hpp")
+        list(FILTER children_hpp EXCLUDE REGEX "analyticcompoundoptionengine.hpp")
     endif ()
 
     list(FILTER children_hpp EXCLUDE REGEX "riskybond.hpp")

diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
@@ -124,7 +124,6 @@ set(QL_SOURCES
     experimental/credit/riskyassetswapoption.cpp
     experimental/credit/syntheticcdo.cpp
     experimental/exoticoptions/analyticcomplexchooserengine.cpp
-    experimental/exoticoptions/analyticcompoundoptionengine.cpp
     experimental/exoticoptions/analyticholderextensibleoptionengine.cpp
     experimental/exoticoptions/analyticpartialtimebarrieroptionengine.cpp
     experimental/exoticoptions/analyticpdfhestonengine.cpp
@@ -133,7 +132,6 @@ set(QL_SOURCES
     experimental/exoticoptions/analytictwoassetcorrelationengine.cpp
     experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp
     experimental/exoticoptions/complexchooseroption.cpp
-    experimental/exoticoptions/compoundoption.cpp
     experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp
     experimental/exoticoptions/continuousarithmeticasianvecerengine.cpp
     experimental/exoticoptions/everestoption.cpp
@@ -280,6 +278,7 @@ set(QL_SOURCES
     instruments/claim.cpp
     instruments/cliquetoption.cpp
     instruments/compositeinstrument.cpp
+    instruments/compoundoption.cpp
     instruments/cpicapfloor.cpp
     instruments/cpiswap.cpp
     instruments/creditdefaultswap.cpp
@@ -699,6 +698,7 @@ set(QL_SOURCES
     pricingengines/credit/isdacdsengine.cpp
     pricingengines/credit/midpointcdsengine.cpp
     pricingengines/exotic/analyticamericanmargrabeengine.cpp
+    pricingengines/exotic/analyticcompoundoptionengine.cpp
     pricingengines/exotic/analyticeuropeanmargrabeengine.cpp
     pricingengines/forward/mcforwardeuropeanbsengine.cpp
     pricingengines/forward/mcforwardeuropeanhestonengine.cpp
@@ -1325,6 +1325,7 @@ set(QL_HEADERS
     instruments/claim.hpp
     instruments/cliquetoption.hpp
     instruments/compositeinstrument.hpp
+    instruments/compoundoption.hpp
     instruments/cpicapfloor.hpp
     instruments/cpiswap.hpp
     instruments/creditdefaultswap.hpp
@@ -1900,6 +1901,7 @@ set(QL_HEADERS
     pricingengines/credit/isdacdsengine.hpp
     pricingengines/credit/midpointcdsengine.hpp
     pricingengines/exotic/analyticamericanmargrabeengine.hpp
+    pricingengines/exotic/analyticcompoundoptionengine.hpp
     pricingengines/exotic/analyticeuropeanmargrabeengine.hpp
     pricingengines/forward/forwardengine.hpp
     pricingengines/forward/forwardperformanceengine.hpp

diff --git a/ql/experimental/exoticoptions/Makefile.am b/ql/experimental/exoticoptions/Makefile.am
@@ -37,7 +37,6 @@ this_include_HEADERS = \
 
 cpp_files = \
     analyticcomplexchooserengine.cpp \
-    analyticcompoundoptionengine.cpp \
     analyticholderextensibleoptionengine.cpp \
     analyticpartialtimebarrieroptionengine.cpp \
     analyticpdfhestonengine.cpp \
@@ -46,7 +45,6 @@ cpp_files = \
     analytictwoassetcorrelationengine.cpp \
     analyticwriterextensibleoptionengine.cpp \
     complexchooseroption.cpp \
-    compoundoption.cpp \
     continuousarithmeticasianlevyengine.cpp \
     continuousarithmeticasianvecerengine.cpp \
     everestoption.cpp \
@@ -92,7 +90,9 @@ all.hpp: Makefile.am
 	for i in $(filter-out all.hpp \
 	                      margrabeoption.hpp \
 	                      analyticamericanmargrabeengine.hpp \
-	                      analyticeuropeanmargrabeengine.hpp, $(this_include_HEADERS)); do \
+	                      analyticeuropeanmargrabeengine.hpp \
+	                      compoundoption.hpp \
+	                      analyticcompoundoptionengine.hpp, $(this_include_HEADERS)); do \
 		echo "#include <${subdir}/$$i>" >> ${srcdir}/$@; \
 	done
 	echo >> ${srcdir}/$@

diff --git a/ql/experimental/exoticoptions/all.hpp b/ql/experimental/exoticoptions/all.hpp
@@ -2,7 +2,6 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp>
-#include <ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp>
 #include <ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp>
 #include <ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.hpp>
 #include <ql/experimental/exoticoptions/analyticpdfhestonengine.hpp>
@@ -11,7 +10,6 @@
 #include <ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp>
 #include <ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp>
 #include <ql/experimental/exoticoptions/complexchooseroption.hpp>
-#include <ql/experimental/exoticoptions/compoundoption.hpp>
 #include <ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp>
 #include <ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp>
 #include <ql/experimental/exoticoptions/everestoption.hpp>

diff --git a/ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp b/ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp
@@ -17,85 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file analyticcompoundoptionengine.hpp
-    \brief Analytic compound option engines
-*/
-
-#ifndef quantlib_analytic_compound_option_engine_hpp
-#define quantlib_analytic_compound_option_engine_hpp
-
-#include <ql/experimental/exoticoptions/compoundoption.hpp>
-#include <ql/processes/blackscholesprocess.hpp>
-#include <ql/math/distributions/bivariatenormaldistribution.hpp>
-
-namespace QuantLib {
-
-    //! Pricing engine for compound options using analytical formulae
-    /*! The formulas are taken from "Foreign Exchange Risk",
-        Uwe Wystup, Risk 2002, where closed form Greeks are available.
-        (not available in Haug 2007).
-        Value: Page 84, Greeks: Pages 94-95.
-
-        \test the correctness of the returned value is tested by
-              reproducing results available in literature.
-    */
-    class AnalyticCompoundOptionEngine : public CompoundOption::engine {
-      public:
-        explicit AnalyticCompoundOptionEngine(
-            ext::shared_ptr<GeneralizedBlackScholesProcess> process);
-        void calculate() const override;
-
-      private:
-        CumulativeNormalDistribution N_;
-        NormalDistribution n_;
-        ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
-
-        // helper methods
-        Time residualTimeMother() const;
-        Time residualTimeDaughter() const;
-        Time residualTimeMotherDaughter() const;
-
-        Date maturityMother() const;
-        Date maturityDaughter() const;
-
-        Real dPlus() const;
-        Real dMinus() const;
-
-        Real dPlusTau12(Real S) const;
-        Real dMinusTau12() const;
-
-        Real strikeDaughter() const;
-        Real strikeMother() const;
-
-        Real spot() const;
-
-        Real volatilityDaughter() const;
-        Real volatilityMother() const;
-
-        Real riskFreeRateDaughter() const;
-        Real dividendRateDaughter() const;
-
-        Real stdDeviationDaughter() const;
-        Real stdDeviationMother() const;
-
-        Real typeDaughter() const;
-        Real typeMother() const;
-
-        Real transformX(Real X) const;
-        Real e(Real X) const;
-
-        DiscountFactor riskFreeDiscountDaughter() const;
-        DiscountFactor riskFreeDiscountMother() const;
-        DiscountFactor riskFreeDiscountMotherDaughter() const;
-
-        DiscountFactor dividendDiscountDaughter() const;
-        DiscountFactor dividendDiscountMother() const;
-        DiscountFactor dividendDiscountMotherDaughter() const;
-
-        ext::shared_ptr<PlainVanillaPayoff> payoffMother() const;
-        ext::shared_ptr<PlainVanillaPayoff> payoffDaughter() const;
-    };
-
-}
+// Deprecated in version 1.32
+#pragma message("Warning: this file will disappear in a future release; include <ql/pricingengines/exotic/analyticcompoundoptionengine.hpp> instead.")
 
-#endif
+#include <ql/pricingengines/exotic/analyticcompoundoptionengine.hpp>
diff --git a/ql/experimental/exoticoptions/compoundoption.hpp b/ql/experimental/exoticoptions/compoundoption.hpp
@@ -17,50 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file compoundoption.hpp
-    \brief Compound option on a single asset
-*/
-
-#ifndef quantlib_compound_option_hpp
-#define quantlib_compound_option_hpp
-
-#include <ql/instruments/oneassetoption.hpp>
-#include <ql/instruments/payoffs.hpp>
-#include <ql/exercise.hpp>
-
-namespace QuantLib {
-
-    //! %Compound option on a single asset.
-    /*! \ingroup instruments */
-    class CompoundOption : public OneAssetOption {
-      public:
-        class arguments;
-        class engine;
-        // Mother is the compound Option.
-        // Daughter is the option which plays the role of the underlying.
-        CompoundOption(const ext::shared_ptr<StrikedTypePayoff>& motherPayoff,
-                       const ext::shared_ptr<Exercise>& motherExercise,
-                       ext::shared_ptr<StrikedTypePayoff> daughterPayoff,
-                       ext::shared_ptr<Exercise> daughterExercise);
-        void setupArguments(PricingEngine::arguments*) const override;
-
-      private:
-        ext::shared_ptr<StrikedTypePayoff> daughterPayoff_;
-        ext::shared_ptr<Exercise> daughterExercise_;
-    };
-
-    class CompoundOption::arguments : public OneAssetOption::arguments {
-      public:
-        ext::shared_ptr<StrikedTypePayoff> daughterPayoff;
-        ext::shared_ptr<Exercise> daughterExercise;
-        void validate() const override;
-    };
-
-    //! %Compound-option %engine base class
-    class CompoundOption::engine
-        : public GenericEngine<CompoundOption::arguments,
-                               CompoundOption::results> {};
-
-}
+// Deprecated in version 1.32
+#pragma message("Warning: this file will disappear in a future release; include <ql/instruments/compoundoption.hpp> instead.")
 
-#endif
+#include <ql/instruments/compoundoption.hpp>
diff --git a/ql/instruments/Makefile.am b/ql/instruments/Makefile.am
@@ -20,6 +20,7 @@ this_include_HEADERS = \
     claim.hpp \
     cliquetoption.hpp \
     compositeinstrument.hpp \
+    compoundoption.hpp \
     cpicapfloor.hpp \
     cpiswap.hpp \
     creditdefaultswap.hpp \
@@ -86,6 +87,7 @@ cpp_files = \
     claim.cpp \
     cliquetoption.cpp \
     compositeinstrument.cpp \
+    compoundoption.cpp \
     cpicapfloor.cpp \
     cpiswap.cpp \
     creditdefaultswap.cpp \

diff --git a/ql/instruments/all.hpp b/ql/instruments/all.hpp
@@ -15,6 +15,7 @@
 #include <ql/instruments/claim.hpp>
 #include <ql/instruments/cliquetoption.hpp>
 #include <ql/instruments/compositeinstrument.hpp>
+#include <ql/instruments/compoundoption.hpp>
 #include <ql/instruments/cpicapfloor.hpp>
 #include <ql/instruments/cpiswap.hpp>
 #include <ql/instruments/creditdefaultswap.hpp>

diff --git a/...rimental/exoticoptions/compoundoption.cpp → ql/instruments/compoundoption.cpp b/...rimental/exoticoptions/compoundoption.cpp → ql/instruments/compoundoption.cpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/exoticoptions/compoundoption.hpp>
+#include <ql/instruments/compoundoption.hpp>
 #include <utility>
 
 namespace QuantLib {