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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010, 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 fdmbatessolver.cpp
*/
#include <ql/processes/batesprocess.hpp>
#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
namespace QuantLib {
FdmBatesSolver::FdmBatesSolver(
const Handle<BatesProcess>& process,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc,
Size integroIntegrationOrder,
const Handle<FdmQuantoHelper>& quantoHelper)
: process_(process),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc),
integroIntegrationOrder_(integroIntegrationOrder),
quantoHelper_(quantoHelper) {
registerWith(process_);
registerWith(quantoHelper_);
}
void FdmBatesSolver::performCalculations() const {
boost::shared_ptr<FdmLinearOpComposite> op(
new FdmBatesOp(solverDesc_.mesher, process_.currentLink(),
solverDesc_.bcSet, integroIntegrationOrder_,
(!quantoHelper_.empty())
? quantoHelper_.currentLink()
: boost::shared_ptr<FdmQuantoHelper>()));
solver_ = boost::shared_ptr<Fdm2DimSolver>(
new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
}
Real FdmBatesSolver::valueAt(Real s, Real v) const {
calculate();
return solver_->interpolateAt(std::log(s), v);
}
Real FdmBatesSolver::deltaAt(Real s, Real v) const {
calculate();
return solver_->derivativeX(std::log(s), v)/s;
}
Real FdmBatesSolver::gammaAt(Real s, Real v) const {
calculate();
const Real x = std::log(s);
return (solver_->derivativeXX(x, v)-solver_->derivativeX(x, v))/(s*s);
}
Real FdmBatesSolver::thetaAt(Real s, Real v) const {
calculate();
return solver_->thetaAt(std::log(s), v);
}
}
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