Model[Storage Option]


"Model[Storage Option]" is a special type of Model
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Model[Storage Option] Functions, keys Model[Storage Option] keys and example object StorOptMdl

TYPE INCLUSION RELATIONSHIPS

Model Exotic Option

Model Storage Option

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Finite Differences

Underlying Process

</defs>

TYPICAL OBJECTS OF TYPE Model[Storage Option]

StorOptMdl

</defs>

This type represents modelling assumptions relating to the type Storage Option that may be needed during some valuation algorithm.
Corresponds to the QuantLib FdSimpleExtOUStorage Engine, which is based on a one-factor finite differences discretization method.
Note this engine still lies in the QuantLib's experimental folder, which means it has not been adequately tested!
This model assumes the underlying price follows an Ornstein Uhlenbeck stochastic process (details in Extended OU Process), which is then discritized using a 1-factor finite differences grid.
As such, no dividend yield (or storage cost), spot underlying price or volatility are required as input in the market data.
The burden falls upon specifying the parameters of the stochastic process.
No calibration routine is currently available.
One may use the Excel solver to fine tune some of the parameters by pricing storage options whose price is known, for example storage options with one allowed exercise that behave like vanilla european options.

The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Price

The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE



The quantities listed in FDVanilla Extra Data are reportable when Finite Differences is used.