16721424135

Committed 04 Aug 2025 11:07AM UTC coverage: 73.862% (+0.03%) from 73.834%

Build # 16721424135

Build Type

Pull #2271

github

Committed by

web-flow

Commit Message

Merge e0d7c1c6e into 38cca0694

Pull Request Pull Request #2271: Soft barrier implementation

Run Details

146 of 169 new or added lines in 3 files covered. (86.39%)

12 existing lines in 1 file now uncovered.

56661 of 76712 relevant lines covered (73.86%)

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48.39

/ql/instruments/softbarrieroption.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2025 William Day

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license. You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 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 license for more details.
*/

#include <ql/exercise.hpp>
#include <ql/instruments/softbarrieroption.hpp>
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/pricingengines/barrier/analyticsoftbarrierengine.hpp>

namespace QuantLib {

    SoftBarrierOption::SoftBarrierOption(
        Barrier::Type barrierType,
        Real barrier_lo,
        Real barrier_hi,
        const ext::shared_ptr<StrikedTypePayoff>& payoff,
        const ext::shared_ptr<Exercise>& exercise)
    : OneAssetOption(payoff, exercise),
      barrierType_(barrierType), barrier_lo_(barrier_lo),
      barrier_hi_(barrier_hi) {}

    void SoftBarrierOption::setupArguments(PricingEngine::arguments* args) const {
        OneAssetOption::setupArguments(args);

        auto* moreArgs = dynamic_cast<SoftBarrierOption::arguments*>(args);
        QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
        moreArgs->barrierType = barrierType_;
        moreArgs->barrier_lo = barrier_lo_;
        moreArgs->barrier_hi = barrier_hi_;
    }

    Volatility SoftBarrierOption::impliedVolatility(      
             Real targetValue,
             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
             Real accuracy,
             Size maxEvaluations,
             Volatility minVol,
             Volatility maxVol) const {

        QL_REQUIRE(!isExpired(), "option expired");

        ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);

        ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
            detail::ImpliedVolatilityHelper::clone(process, volQuote);

        std::unique_ptr<PricingEngine> engine;
        switch (exercise_->type()) {
            case Exercise::European:
              engine = std::make_unique<AnalyticSoftBarrierEngine>(newProcess);
              break;
          case Exercise::American:
          case Exercise::Bermudan:
            QL_FAIL("engine not available for non-European soft barrier option");
          default:
            QL_FAIL("unknown exercise type");
        }

        return detail::ImpliedVolatilityHelper::calculate(*this,
                                                          *engine,
                                                          *volQuote,
                                                          targetValue,
                                                          accuracy,
                                                          maxEvaluations,
                                                          minVol, maxVol);
    }

    SoftBarrierOption::arguments::arguments()
    : barrierType(Barrier::Type(-1)),
      barrier_lo(Null<Real>()), barrier_hi(Null<Real>()) {}

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2025 William Day
5
6	This file is part of QuantLib, a free-software/open-source library
7	for financial quantitative analysts and developers - http://quantlib.org/
8
9	QuantLib is free software: you can redistribute it and/or modify it
10	under the terms of the QuantLib license. You should have received a
11	copy of the license along with this program; if not, please email
12	<quantlib-dev@lists.sf.net>. The license is also available online at
13	<http://quantlib.org/license.shtml>.
14
15	This program is distributed in the hope that it will be useful, but WITHOUT
16	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17	FOR A PARTICULAR PURPOSE. See the license for more details.
18	*/
19
20	#include <ql/exercise.hpp>
21	#include <ql/instruments/softbarrieroption.hpp>
22	#include <ql/instruments/impliedvolatility.hpp>
23	#include <ql/pricingengines/barrier/analyticsoftbarrierengine.hpp>
24
25	namespace QuantLib {
26
27	SoftBarrierOption::SoftBarrierOption(	118✔
28	Barrier::Type barrierType,
29	Real barrier_lo,
30	Real barrier_hi,
31	const ext::shared_ptr<StrikedTypePayoff>& payoff,
32	const ext::shared_ptr<Exercise>& exercise)	118✔
33	: OneAssetOption(payoff, exercise),
34	barrierType_(barrierType), barrier_lo_(barrier_lo),	118✔
35	barrier_hi_(barrier_hi) {}	236✔
36
37	void SoftBarrierOption::setupArguments(PricingEngine::arguments* args) const {	118✔
38	OneAssetOption::setupArguments(args);	118✔
39
40	auto* moreArgs = dynamic_cast<SoftBarrierOption::arguments*>(args);	118✔
41	QL_REQUIRE(moreArgs != nullptr, "wrong argument type");	118✔
42	moreArgs->barrierType = barrierType_;	118✔
43	moreArgs->barrier_lo = barrier_lo_;	118✔
44	moreArgs->barrier_hi = barrier_hi_;	118✔
45	}	118✔
46
NEW 47	Volatility SoftBarrierOption::impliedVolatility(	×
48	Real targetValue,
49	const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
50	Real accuracy,
51	Size maxEvaluations,
52	Volatility minVol,
53	Volatility maxVol) const {
54
NEW 55	QL_REQUIRE(!isExpired(), "option expired");	×
56
NEW 57	ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);	×
58
59	ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
NEW 60	detail::ImpliedVolatilityHelper::clone(process, volQuote);	×
61
NEW 62	std::unique_ptr<PricingEngine> engine;	×
NEW 63	switch (exercise_->type()) {	×
NEW 64	case Exercise::European:	×
NEW 65	engine = std::make_unique<AnalyticSoftBarrierEngine>(newProcess);	×
66	break;
NEW 67	case Exercise::American:	×
68	case Exercise::Bermudan:
NEW 69	QL_FAIL("engine not available for non-European soft barrier option");	×
NEW 70	default:	×
NEW 71	QL_FAIL("unknown exercise type");	×
72	}
73
NEW 74	return detail::ImpliedVolatilityHelper::calculate(*this,	×
75	*engine,
NEW 76	*volQuote,	×
77	targetValue,
78	accuracy,
79	maxEvaluations,
NEW 80	minVol, maxVol);	×
NEW 81	}	×
82
83	SoftBarrierOption::arguments::arguments()	118✔
84	: barrierType(Barrier::Type(-1)),	118✔
85	barrier_lo(Null<Real>()), barrier_hi(Null<Real>()) {}	118✔
86
87	}

lballabio / QuantLib / 16721424135

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