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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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 fdmextoujumpsolver.cpp
*/
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
namespace QuantLib {
FdmExtOUJumpSolver::FdmExtOUJumpSolver(
const Handle<ExtOUWithJumpsProcess>& process,
const boost::shared_ptr<YieldTermStructure>& rTS,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc)
: process_ (process),
rTS_ (rTS),
solverDesc_ (solverDesc),
schemeDesc_ (schemeDesc) {
registerWith(process_);
}
void FdmExtOUJumpSolver::performCalculations() const {
boost::shared_ptr<FdmLinearOpComposite>op(
new FdmExtOUJumpOp(solverDesc_.mesher, process_.currentLink(),
rTS_, solverDesc_.bcSet, 32));
solver_ = boost::shared_ptr<Fdm2DimSolver>(
new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
}
Real FdmExtOUJumpSolver::valueAt(Real x, Real y) const {
calculate();
return solver_->interpolateAt(x, y);
}
}
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