Accommodate old QL releases (such as 1.25) in src/vanilla.cpp

eddelbuettel · Jul 24, 2024 · e26307c · e26307c
1 parent b4b4c28
commit e26307c
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diff --git a/ChangeLog b/ChangeLog
@@ -1,3 +1,8 @@
+2024-07-24  Dirk Eddelbuettel  <[email protected]>
+
+	* src/vanilla.cpp: Accommodate builds on QuantLib versions as old as
+	1.25 by retaining the previous dividend treatment under #ifdef
+
 2024-07-23  Dirk Eddelbuettel  <[email protected]>
 
         * DESCRIPTION (Version, Date): New release 0.4.23

diff --git a/src/vanilla.cpp b/src/vanilla.cpp
@@ -67,9 +67,15 @@ Rcpp::List europeanOptionEngine(std::string type,
                                                        QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
                                                        QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS));
 
+#if QL_HEX_VERSION >= 0x013500c0
         auto engine = qlext::make_shared<QuantLib::AnalyticDividendEuropeanEngine>(stochProcess, QuantLib::DividendVector(discDivDates, discDividends));
-
         QuantLib::VanillaOption option(payoff, exercise);
+#else
+        QL_DEPRECATED_DISABLE_WARNING
+        auto qlext::shared_ptr<QuantLib::AnalyticDividendEuropeanEngine>(stochProcess));
+        QuantLib::DividendVanillaOption option(payoff, exercise, discDivDates, discDividends);
+        QL_DEPRECATED_ENABLE_WARNING
+#endif
         option.setPricingEngine(engine);
 
         return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
@@ -143,16 +149,29 @@ Rcpp::List americanOptionEngine(std::string type,
             discDividends[i] = divvalues[i];
         }
 
+#if QL_HEX_VERSION >= 0x013500c0
         QuantLib::VanillaOption option(payoff, exercise);
+#else
+        QL_DEPRECATED_DISABLE_WARNING
+        QuantLib::DividendVanillaOption option(payoff, exercise, discDivDates, discDividends);
+        QL_DEPRECATED_ENABLE_WARNING
+#endif
 
         if (engine=="BaroneAdesiWhaley") {
             Rcpp::warning("Discrete dividends, engine switched to CrankNicolson");
             engine = "CrankNicolson";
         }
 
         if (engine=="CrankNicolson") { // FDDividendAmericanEngine only works with CrankNicolson
+#if QL_HEX_VERSION >= 0x013500c0
             // see eg test-suite/americanoption.cc
             option.setPricingEngine(QuantLib::MakeFdBlackScholesVanillaEngine(stochProcess).withCashDividends(discDivDates, discDividends));
+#else
+            // suggestion by Bryan Lewis: use CrankNicolson for greeks
+            QuantLib::ext::shared_ptr<QuantLib::PricingEngine>
+            fdcnengine(new QuantLib::FdBlackScholesVanillaEngine(stochProcess, timeSteps, gridPoints));
+            option.setPricingEngine(fdcnengine);
+#endif
             return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
                                       Rcpp::Named("delta") = option.delta(),
                                       Rcpp::Named("gamma") = option.gamma(),