C++：实现量化Longstaff-Schwartz模型测试实例

最新推荐文章于 2023-12-12 10:45:49 发布

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最新推荐文章于 2023-12-12 10:45:49 发布

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本文是一篇关于C++实现Longstaff-Schwartz量化模型的原创博客，详细探讨了模型的原理及测试实例，旨在帮助读者理解并应用该算法。

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C++：实现量化Longstaff-Schwartz模型测试实例

#include "mclongstaffschwartzengine.hpp"
#include "utilities.hpp"
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>
#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <utility>

using namespace QuantLib;
using namespace boost::unit_test_framework;

namespace {
   
   

    class AmericanMaxPathPricer : public EarlyExercisePathPricer<MultiPath>  {
   
   
      public:
        explicit AmericanMaxPathPricer(ext::shared_ptr<Payoff> payoff)
        : payoff_(std::move(payoff)) {
   
   }

        StateType state(const MultiPath& path, Size t) const override {
   
   
            Array tmp(path.assetNumber());
            for (Size i=0; i<path.assetNumber(); ++i) {
   
   
                tmp[i]=path[i][t];
            }

            return tmp;
        }

        Real operator()(const MultiPath& path, Size t) const override {
   
   
            const Array tmp = state(path, t);
            return (*payoff_)(*std::max_element(tmp.begin(), tmp.end()));
        }

        std::vector<ext::function<Real(StateType)> > basisSystem() const override {
   
   
            return LsmBasisSystem::multiPathBasisSystem(2, 2,
                                                        LsmBasisSystem::Monomial);
        }

      protected:
        const ext::shared_ptr<Payoff> payoff_;
    };

    template <class RNG>
    class MCAmericanMaxEngine
        : public MCLongstaffSchwartzEngine<VanillaOption::engine,
                                           MultiVariate,RNG>{
   
   
      public:
        MCAmericanMaxEngine(
                            const ext::shared_ptr<StochasticProcessArray>& processes,
                            Size timeSteps,
                            Size timeStepsPerYear,
                            bool brownianbridge,
                            bool antitheticVariate,
                            bool controlVariate,
                            Size requiredSamples,
                            Real requiredTolerance,
                            Size maxSamples,
                            BigNatural seed,
                            Size nCalibrationSamples = Null<Size>())
        : MCLongstaffSchwartzEngine<VanillaOption