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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 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/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
#include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
namespace QuantLib {
FdmHestonHullWhiteSolver::FdmHestonHullWhiteSolver(
const Handle<HestonProcess>& hestonProcess,
const Handle<HullWhiteProcess>& hwProcess,
Rate corrEquityShortRate,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc)
: hestonProcess_(hestonProcess),
hwProcess_(hwProcess),
corrEquityShortRate_(corrEquityShortRate),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc) {
registerWith(hestonProcess);
registerWith(hwProcess);
}
void FdmHestonHullWhiteSolver::performCalculations() const {
const boost::shared_ptr<FdmLinearOpComposite> op(
new FdmHestonHullWhiteOp(solverDesc_.mesher,
hestonProcess_.currentLink(),
hwProcess_.currentLink(),
corrEquityShortRate_));
solver_ = boost::shared_ptr<Fdm3DimSolver>(
new Fdm3DimSolver(solverDesc_, schemeDesc_, op));
}
Real FdmHestonHullWhiteSolver::valueAt(Real s, Real v, Rate r) const {
calculate();
const Real x = std::log(s);
return solver_->interpolateAt(x, v, r);
}
Real FdmHestonHullWhiteSolver::deltaAt(Real s, Real v, Rate r, Real eps)
const {
return (valueAt(s+eps, v, r) - valueAt(s-eps, v, r))/(2*eps);
}
Real FdmHestonHullWhiteSolver::gammaAt(Real s, Real v, Rate r, Real eps)
const {
return (valueAt(s+eps, v, r)+valueAt(s-eps, v,r )
-2*valueAt(s, v, r))/(eps*eps);
}
Real FdmHestonHullWhiteSolver::thetaAt(Real s, Real v, Rate r) const {
calculate();
const Real x = std::log(s);
return solver_->thetaAt(x, v, r);
}
}
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