quantlib-dev

[Quantlib-dev] FDDividendEngineShiftScale class

[a.p. <an...@gm...>]

Hello everybody!
Currently, i try to implement FD Framework for american option valuation (on
stock with dividends), and then use it for single barrier option pricing. I
use FDDividendEngineShiftScale and unfortunately found that results are
absolutly unreliable. The main function, which is used for calculation, is
FDMultiPeriodEngine:: calculate() (it's the parent class). Have anybody
checked the correctness of this function? 
For proper valuation i've changed the declaration of used class:
	class FDDividendEngineShiftScale : public DividendVanillaOption::engine,
FDDividendEngineBase
it's necessary for DividendVanillaOption.setPricingEngine initialization,
and added calculate() function description:
	void calculate() const {
		setupArguments(&arguments_);
		FDMultiPeriodEngine::calculate(&results_);
	}
Also i've changed condition engine to FDAmericanCondition and added another
constructor for AmericanExercise class (it's already documented):
  AmericanExercise::AmericanExercise(const Date& latestDate,
				       bool payoffAtExpiry)
    : EarlyExercise(American, payoffAtExpiry) {
        dates_ = std::vector<Date>(1, latestDate);
    }

That's all. Maybe i should do some other steps to achieve correct results?
Thanks in advance.
Andrew.
P.S i work with QuantLib 0.9.0 version

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Re: [Quantlib-dev] FDDividendEngineShiftScale class

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

On Wed, 2008-11-12 at 04:43 -0800, a.p. wrote:
> For proper valuation i've changed the declaration of used class:
> 	class FDDividendEngineShiftScale : public DividendVanillaOption::engine,
> FDDividendEngineBase
> it's necessary for DividendVanillaOption.setPricingEngine initialization,
> and added calculate() function description:

Andrew,
	I'm not very familiar with those classes, but did you try the engines
in <ql/pricingengines/vanilla/fddividendamericanengine.hpp>?

Luigi


-- 

It is better to know some of the questions than all of the answers. 
-- James Thurber 

Re: [Quantlib-dev] FDDividendEngineShiftScale class

[a.p. <an...@gm...>]

Dear, Luigi, thanks for reply, but i wish my message had deleted (moreover i
deleted it via nabble.com), cause i found an error in my code :) These
classes work perfectly, i've checked it. 
Initially i didn't find FDDividendAmericanEngine, but it implements all my
efforts and changes by using FDEngineAdapter, so now i work with this class.
Who's the developer of these classes and with whom i could consult about
their usage? 


Luigi Ballabio wrote:
> 
> On Wed, 2008-11-12 at 04:43 -0800, a.p. wrote:
>> For proper valuation i've changed the declaration of used class:
>> 	class FDDividendEngineShiftScale : public DividendVanillaOption::engine,
>> FDDividendEngineBase
>> it's necessary for DividendVanillaOption.setPricingEngine initialization,
>> and added calculate() function description:
> 
> Andrew,
> 	I'm not very familiar with those classes, but did you try the engines
> in <ql/pricingengines/vanilla/fddividendamericanengine.hpp>?
> 
> Luigi
> 
> 
> -- 
> 
> It is better to know some of the questions than all of the answers. 
> -- James Thurber 
> 
> 
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Re: [Quantlib-dev] FDDividendEngineShiftScale class

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

On Sun, 2008-11-16 at 12:00 -0800, a.p. wrote:
> Initially i didn't find FDDividendAmericanEngine, but it implements all my
> efforts and changes by using FDEngineAdapter, so now i work with this class.
> Who's the developer of these classes and with whom i could consult about
> their usage? 

They were developed by Joseph Wang.  If you have questions, the best
thing is to post them on this list; see
<http://quantlib.org/faq.shtml#General questions0>.

Luigi


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Quote me as saying I was misquoted. 
-- Groucho Marx