// -*- mode: C++; c-indent-level: 4; c-basic-offset: 4; indent-tabs-mode: nil; -*-

//

// RQuantLib -- R interface to the QuantLib libraries

//

// Copyright (C) 2002 - 2014 Dirk Eddelbuettel <edd@debian.org>

//

// This file is part of RQuantLib.

//

// RQuantLib is free software: you can redistribute it and/or modify

// it under the terms of the GNU General Public License as published by

// the Free Software Foundation, either version 2 of the License, or

// (at your option) any later version.

//

// RQuantLib 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

// GNU General Public License for more details.

//

// You should have received a copy of the GNU General Public License

// along with RQuantLib. If not, see <http://www.gnu.org/licenses/>.

#include <rquantlib.h>

// [[Rcpp::interfaces(r, cpp)]]

// [[Rcpp::export]]

Rcpp::List europeanOptionEngine(std::string type,

double underlying,

double strike,

double dividendYield,

double riskFreeRate,

double maturity,

double volatility) {

int length = int(maturity*360 + 0.5); // FIXME: this could be better

QuantLib::Option::Type optionType = getOptionType(type);

QuantLib::Date today = QuantLib::Date::todaysDate();

QuantLib::Settings::instance().evaluationDate() = today;

// new framework as per QuantLib 0.3.5

QuantLib::DayCounter dc = QuantLib::Actual360();

boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote( underlying ));

boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote( volatility ));

boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);

boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote( dividendYield ));

boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);

boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote( riskFreeRate ));

boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);

QuantLib::Date exDate = today + length;

boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));

boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));

boost::shared_ptr<QuantLib::VanillaOption> option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);

return Rcpp::List::create(Rcpp::Named("value") = option->NPV(),

Rcpp::Named("delta") = option->delta(),

Rcpp::Named("gamma") = option->gamma(),

Rcpp::Named("vega") = option->vega(),

Rcpp::Named("theta") = option->theta(),

Rcpp::Named("rho") = option->rho(),

Rcpp::Named("divRho") = option->dividendRho());

}

// [[Rcpp::export]]

Rcpp::List americanOptionEngine(std::string type,

double underlying,

double strike,

double dividendYield,

double riskFreeRate,

double maturity,

double volatility,

int timeSteps,

int gridPoints,

std::string engine) {

int length = int(maturity*360 + 0.5); // FIXME: this could be better

QuantLib::Option::Type optionType = getOptionType(type);

// new framework as per QuantLib 0.3.5, updated for 0.3.7

// updated again for 0.9.0, see eg test-suite/americanoption.cpp

QuantLib::Date today = QuantLib::Date::todaysDate();

QuantLib::Settings::instance().evaluationDate() = today;

QuantLib::DayCounter dc = QuantLib::Actual360();

boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));

boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));

boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today,qRate,dc);

boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));

boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);

boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));

boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);

boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));

QuantLib::Date exDate = today + length;

boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::AmericanExercise(today, exDate));

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)));

QuantLib::VanillaOption option(payoff, exercise);

if (engine=="BaroneAdesiWhaley") {

// new from 0.3.7 BaroneAdesiWhaley

boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::BaroneAdesiWhaleyApproximationEngine(stochProcess));

option.setPricingEngine(engine);

return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),

Rcpp::Named("delta") = R_NaReal,

Rcpp::Named("gamma") = R_NaReal,

Rcpp::Named("vega") = R_NaReal,

Rcpp::Named("theta") = R_NaReal,

Rcpp::Named("rho") = R_NaReal,

Rcpp::Named("divRho") = R_NaReal);

} else if (engine=="CrankNicolson") {

// suggestion by Bryan Lewis: use CrankNicolson for greeks

boost::shared_ptr<QuantLib::PricingEngine>

fdcnengine(new QuantLib::FDAmericanEngine<QuantLib::CrankNicolson>(stochProcess, timeSteps, gridPoints));

option.setPricingEngine(fdcnengine);

return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),

Rcpp::Named("delta") = option.delta(),

Rcpp::Named("gamma") = option.gamma(),

Rcpp::Named("vega") = R_NaReal,

Rcpp::Named("theta") = R_NaReal,

Rcpp::Named("rho") = R_NaReal,

Rcpp::Named("divRho") = R_NaReal);

} else {

throw std::range_error("Unknown engine " + engine);

}

}

// [[Rcpp::export]]

Rcpp::List europeanOptionArraysEngine(std::string type, Rcpp::NumericMatrix par) {

QuantLib::Option::Type optionType = getOptionType(type);

int n = par.nrow();

Rcpp::NumericVector value(n), delta(n), gamma(n), vega(n), theta(n), rho(n), divrho(n);

QuantLib::Date today = QuantLib::Date::todaysDate();

QuantLib::Settings::instance().evaluationDate() = today;

QuantLib::DayCounter dc = QuantLib::Actual360();

for (int i=0; i<n; i++) {

double underlying = par(i, 0); // first column

double strike = par(i, 1); // second column

QuantLib::Spread dividendYield = par(i, 2); // third column

QuantLib::Rate riskFreeRate = par(i, 3); // fourth column

QuantLib::Time maturity = par(i, 4); // fifth column

int length = int(maturity*360 + 0.5); // FIXME: this could be better

double volatility = par(i, 5); // sixth column

boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote( underlying ));

boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote( volatility ));

boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);

boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote( dividendYield ));

boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);

boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote( riskFreeRate ));

boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);

QuantLib::Date exDate = today + length;

boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));

boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));

boost::shared_ptr<QuantLib::VanillaOption> option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);

value[i] = option->NPV();

delta[i] = option->delta();

gamma[i] = option->gamma();

vega[i] = option->vega();

theta[i] = option->theta();

rho[i] = option->rho();

divrho[i] = option->dividendRho();

}

return Rcpp::List::create(Rcpp::Named("value") = value,

Rcpp::Named("delta") = delta,

Rcpp::Named("gamma") = gamma,

Rcpp::Named("vega") = vega,

Rcpp::Named("theta") = theta,

Rcpp::Named("rho") = rho,

Rcpp::Named("divRho") = divrho);

}