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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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 license for more details.
*/
/*! \file onefactoroperator.cpp
\brief differential operator for one-factor interest rate models
\fullpath
ql/FiniteDifferences/%onefactoroperator.cpp
*/
// $Id: onefactoroperator.cpp,v 1.10 2002/03/05 01:10:37 sadrejeb Exp $
#include "ql/FiniteDifferences/onefactoroperator.hpp"
namespace QuantLib {
namespace FiniteDifferences {
using InterestRateModelling::ShortRateProcess;
OneFactorOperator::OneFactorOperator(const Array& grid,
const Handle<ShortRateProcess>& process)
: TridiagonalOperator(grid.size()) {
timeSetter_ = Handle<TridiagonalOperator::TimeSetter>(
new SpecificTimeSetter(grid[0], grid[1] - grid[0], process));
}
OneFactorOperator::SpecificTimeSetter::SpecificTimeSetter(
double x0, double dx, const Handle<ShortRateProcess>& process)
: x0_(x0), dx_(dx), process_(process) {}
void OneFactorOperator::SpecificTimeSetter::setTime(Time t,
TridiagonalOperator& op) const {
Size length = op.size();
for (Size i=0; i<length; i++) {
double x = x0_ + dx_*i;
Rate r = process_->shortRate(t, x);
double mu = process_->drift(t, x);
double sigma = process_->diffusion(t, x);
// std::cout << t << " " << x << " -> " << r << " " << mu << " " << sigma << std::endl;
double sigma2 = sigma*sigma;
double pdown = (- sigma2/(2.0*dx_*dx_) ) + mu/(2.0*dx_);
double pm = (+ sigma2/(dx_*dx_) ) + r;
double pup = (- sigma2/(2.0*dx_*dx_) ) - mu/(2.0*dx_);
if (i==0)
op.setFirstRow(pm, pup);
else if (i==(length - 1))
op.setLastRow(pdown, pm);
else
op.setMidRow(i, pdown, pm, pup);
}
//setLowerBC( BoundaryCondition(BoundaryCondition::Neumann, 0));
//setUpperBC( BoundaryCondition(BoundaryCondition::Neumann, 0));
}
}
}
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