Re: [Quantlib-users] re-evaluating an option using MC engine in a loop

[Luigi B. <lui...@gm...>]

Using moving curves should work, too, without having to reset anything;
that is, instead of using FlatForward(referenceDate, rate, dayCount), use
FlatForward(0, calendar, rate, dayCount) to create a curve that resets
automatically when the evaluation date changes.  0 as the first argument
will keep the reference date the same as the evaluation date, but it's
possible to pass e.g. 2 to have a curve starting spot (on the second
business day from the evaluation date).

Luigi


On Tue, Mar 8, 2022 at 3:29 PM Mohammad Shoja-talab <msh...@gm...>
wrote:

> Hi,
>
> Answering my own question here as I found out the reason;
> inside the loop i need to re-set rTS (i'm a bit surprised i must say as
> its flat rate and I thought should extrapolate correctly), and also reset
> stochProcess and also re-set engine.
>
>
> On Tue, Mar 8, 2022 at 12:20 PM Mohammad Shoja-talab <
> msh...@gm...> wrote:
>
>> Hi,
>>
>> I'm trying to re-evaluate an option with different today's date and a
>> fixed maturity date, in a loop, but I keep getting the same result as if
>> today's date doesn't get updated to new value.
>>
>> my code roughly looks like this:
>>
>>
>>
>>   boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new
>> PlainVanillaPayoff(QuantLib::Option::Call, faceValue));
>>
>>   boost::shared_ptr<QuantLib::BlackScholesMertonProcess> stochProcess(new
>>
>>
>> QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
>>
>>       QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
>>
>>       QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
>>
>>       QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
>>
>>
>>
>>   boost::shared_ptr<QuantLib::PricingEngine> engine =
>>
>>
>> QuantLib::MakeMCDiscreteArithmeticAPEngine<QuantLib::LowDiscrepancy>(stochProcess)
>>
>>     .withSamples(4095)
>>
>>     .withControlVariate(true);
>>
>>
>>
>>   boost::shared_ptr<QuantLib::Exercise> exercise(new
>> QuantLib::EuropeanExercise(maturityDate));
>>
>>
>>
>>   for (int i = 0; i <= 4; ++i)
>>
>>   {
>>
>>     auto tDay = QuantLib::Date(1, QuantLib::March, 2022 + i);
>>
>>     QuantLib::Settings::instance().evaluationDate() = tDay;
>>
>>
>>
>>     QuantLib::DiscreteAveragingAsianOption option(averageType,
>> runningSum, pastFixings, fixingDates,
>>
>>       payoff, exercise);
>>
>>
>>
>>     option.setPricingEngine(engine);
>>
>>     option.recalculate();  // even this doesn't help, or resetting of
>> engine and stochProcess
>>
>>
>>
>>     QuantLib::Real quantLibValue = option.NPV();
>>
>>
>>
>>     BOOST_CHECK_CLOSE(expectedValue, quantLibValue, 0.3); // error less
>> than 0.3%
>>
>>   }
>>
>>
>>
>> Any idea what I'm doing wrong please?
>>
>>
>> --
>> Mohammad Shojatalab
>>
>
>
> --
> Mohammad Shojatalab
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