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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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.
*/
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
namespace QuantLib {
Fdm2dBlackScholesSolver::Fdm2dBlackScholesSolver(
const Handle<GeneralizedBlackScholesProcess>& p1,
const Handle<GeneralizedBlackScholesProcess>& p2,
const Real correlation,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc)
: p1_(p1),
p2_(p2),
correlation_(correlation),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc) {
registerWith(p1_);
registerWith(p2_);
}
void Fdm2dBlackScholesSolver::performCalculations() const {
boost::shared_ptr<Fdm2dBlackScholesOp> op(
new Fdm2dBlackScholesOp(solverDesc_.mesher,
p1_.currentLink(),
p2_.currentLink(),
correlation_,
solverDesc_.maturity));
solver_ = boost::shared_ptr<Fdm2DimSolver>(
new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
}
Real Fdm2dBlackScholesSolver::valueAt(Real u, Real v) const {
calculate();
const Real x = std::log(u);
const Real y = std::log(v);
return solver_->interpolateAt(x, y);
}
Real Fdm2dBlackScholesSolver::thetaAt(Real u, Real v) const {
calculate();
const Real x = std::log(u);
const Real y = std::log(v);
return solver_->thetaAt(x, y);
}
Real Fdm2dBlackScholesSolver::deltaXat(Real u, Real v) const {
calculate();
const Real x = std::log(u);
const Real y = std::log(v);
return solver_->derivativeX(x, y)/u;
}
Real Fdm2dBlackScholesSolver::deltaYat(Real u, Real v) const {
calculate();
const Real x = std::log(u);
const Real y = std::log(v);
return solver_->derivativeY(x, y)/v;
}
Real Fdm2dBlackScholesSolver::gammaXat(Real u, Real v) const {
calculate();
const Real x = std::log(u);
const Real y = std::log(v);
return (solver_->derivativeXX(x, y)
-solver_->derivativeX(x, y))/(u*u);
}
Real Fdm2dBlackScholesSolver::gammaYat(Real u, Real v) const {
calculate();
const Real x = std::log(u);
const Real y = std::log(v);
return (solver_->derivativeYY(x, y)
-solver_->derivativeY(x, y))/(v*v);
}
}
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