[Quantlib-users] Pointer Casting

[animesh s. <ani...@gm...>]

  I located the error in the code. I think this is probably due to design.
Generally people would like to price options using different processes. 
For example Himalayan Option is priced using BlackScholes process in the 
example. When I change it to another process like Merton76Process (which 
also is Stochastic1D - as per the guidelines), I should be able to price 
it. The error is when it delegates to casting to generalized Black 
Scholes process, the following code in file mchimalayaengine.hpp.

     template <class RNG, class S>
     inline
     boost::shared_ptr<typename MCHimalayaEngine<RNG,S>::path_pricer_type>
     MCHimalayaEngine<RNG,S>::pathPricer() const {

*        boost::shared_ptr<GeneralizedBlackScholesProcess> process =*
*            boost::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(*
*                                                      
processes_->process(0));*
         QL_REQUIRE(process, "Black-Scholes process required");

         return boost::shared_ptr<
                          typename 
MCHimalayaEngine<RNG,S>::path_pricer_type>(
             new HimalayaMultiPathPricer(arguments_.payoff,
                                         process->riskFreeRate()->discount(
                                            
arguments_.exercise->lastDate())));
     }

The cast is throwing the error. If I change it to *"STATIC CAST", the 
error is gone!
         boost::shared_ptr<GeneralizedBlackScholesProcess> process =*
*            boost::static_pointer_cast<GeneralizedBlackScholesProcess>(*
*                                                      
processes_->process(0));*

The developer's might have better suggestions. Any views on this?? Is 
this a design problem?
Thanks in advance.


On 8/31/10 1:57 AM, animesh saxena wrote:
>  Below is the sample code for Himalayan Option valuation. It works for 
> BlackScholes process but if I change it to slightly fancier 
> Merton76Process (Jumps), it throws out an ugly SIG ABORT exception. 
> Can anyone help me in figuring out the mistake. "Just copy paste the 
> code below to test it out".
> Thanks in advance!
>
> Date today = Settings::instance().evaluationDate();
>
>     DayCounter dc = Actual360();
>     std::vector<Date> fixingDates;
>     for (Size i=0; i<5; ++i)
>         fixingDates.push_back(today+i*90);
>
>     Real strike = 100.0;
>     HimalayaOption option(fixingDates, strike);
>
>     Handle<YieldTermStructure> riskFreeRate(flatRate(today, 0.05, dc));
>
>     std::vector<boost::shared_ptr<StochasticProcess1D> > processes(4);
>
>     boost::shared_ptr<SimpleQuote> spot(new SimpleQuote(100));
>     boost::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.01));
>     boost::shared_ptr<YieldTermStructure> qTS = flatRate(today, qRate, 
> dc);
>     boost::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.05));
>     boost::shared_ptr<YieldTermStructure> rTS = flatRate(today, rRate, 
> dc);
>     boost::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.20));
>     boost::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, 
> vol, dc);
>
>
>     boost::shared_ptr<SimpleQuote> jumpIntensity(new SimpleQuote(1));
>     boost::shared_ptr<SimpleQuote> meanLogJump(new SimpleQuote(0.2));
>     boost::shared_ptr<SimpleQuote> jumpVol(new SimpleQuote(0.2));
>
>    processes[0]= boost::shared_ptr<StochasticProcess1D>(new 
> Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol))); 
>
>     processes[1]= boost::shared_ptr<StochasticProcess1D>(new 
> Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol))); 
>
>     processes[2]= boost::shared_ptr<StochasticProcess1D>(new 
> Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol))); 
>
>     processes[3]= boost::shared_ptr<StochasticProcess1D>(new 
> Merton76Process(Handle<Quote>(spot),Handle<YieldTermStructure>(qTS),Handle<YieldTermStructure>(rTS),Handle<BlackVolTermStructure>(volTS),Handle<Quote>(jumpIntensity),Handle<Quote>(meanLogJump),Handle<Quote>(jumpVol))); 
>
>
>
>
>     Matrix correlation(4,4);
>     correlation[0][1] = 0.29;
>     correlation[0][2] = 0.29;
>     correlation[0][3] = 0.39;
>     correlation[1][0] = 0.49;
>     correlation[1][2] = 0.59;
>     correlation[1][3] = 0.69;
>
>     correlation[2][2] = 0.19;
>     correlation[2][3] = 0.29;
>
>     correlation[3][0] = correlation[0][3];
>     correlation[3][1] = correlation[1][3];
>     correlation[3][2] = correlation[2][3];
>     correlation[2][0] = correlation[0][2];
>     correlation[2][1] = correlation[1][2];
>     correlation[1][1] = 1.00;
>
>     correlation[0][0] = 1.00;
>     correlation[3][3] = 1.00;
>
>
>     BigNatural seed = 42;
>     int i_samples;
>     i_samples = 4999;
>     Size fixedSamples;
>     boost::shared_ptr<StochasticProcessArray> process(new 
> StochasticProcessArray(processes, correlation));
>     Real value;
>     
> option.setPricingEngine(MakeMCHimalayaEngine<PseudoRandom>(process).withSamples(fixedSamples).withSeed(seed));
>     value = option.NPV();
>
>
>

-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221