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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 fdm3dimsolver.hpp
*/
#ifndef quantlib_fdm_3_dim_solver_hpp
#define quantlib_fdm_3_dim_solver_hpp
#include <ql/math/matrix.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
namespace QuantLib {
class BicubicSpline;
class FdmSnapshotCondition;
class Fdm3DimSolver : public LazyObject {
public:
Fdm3DimSolver(const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc,
const boost::shared_ptr<FdmLinearOpComposite>& op);
void performCalculations() const;
Real interpolateAt(Real x, Real y, Rate z) const;
Real thetaAt(Real x, Real y, Rate z) const;
private:
const FdmSolverDesc solverDesc_;
const FdmSchemeDesc schemeDesc_;
const boost::shared_ptr<FdmLinearOpComposite> op_;
const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
const boost::shared_ptr<FdmStepConditionComposite> conditions_;
std::vector<Real> x_, y_, z_, initialValues_;
mutable std::vector<Matrix> resultValues_;
mutable std::vector<boost::shared_ptr<BicubicSpline> > interpolation_;
};
}
#endif
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