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%%%
%%% Convolution quadrature option pricer for European option under 
%%% Black-Scholes-Merton model
%%% 
%%% Copyright (C) 2008  Vladimir Surkov
%%%
%%%
%%% This program 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 3 of the License, or
%%% (at your option) any later version.
%%%
%%% This program 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 this program.  If not, see <http://www.gnu.org/licenses/>.
%%%
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function [values_call, values_put, time] = ConvolutionQuadrature_European_BlackScholesMerton(S, K, T, sigma, r, q)

values_call = zeros(length(S), length(K));
values_put = zeros(length(S), length(K));

time = cputime;

payoff_call = @(x,k)(max(exp(x)-k,0));
payoff_put = @(x,k)(max(k-exp(x),0));
pdf = @(x)normpdf(x, (r-q-sigma^2/2)*T, sigma*sqrt(T));

for iter_s = 1:length(S)
    x = log(S(iter_s));
    for iter_k = 1:length(K)
        integrand = @(y)(payoff_call(x+y, K(iter_k)).*pdf(y));
        values_call(iter_s, iter_k) = exp(-r*T)*quad(integrand, -5, 5);
        integrand = @(y)(payoff_put(x+y, K(iter_k)).*pdf(y));
        values_put(iter_s, iter_k) = exp(-r*T)*quad(integrand, -5, 5);
    end
end

time = cputime - time;