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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008, 2009 Ralph Schreyer
Copyright (C) 2008, 2009, 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.
*/
#include <ql/processes/hestonprocess.hpp>
#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
namespace QuantLib {
FdmHestonSolver::FdmHestonSolver(
const Handle<HestonProcess>& process,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc,
const Handle<FdmQuantoHelper>& quantoHelper)
: process_(process),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc),
quantoHelper_(quantoHelper) {
registerWith(process_);
registerWith(quantoHelper_);
}
void FdmHestonSolver::performCalculations() const {
boost::shared_ptr<FdmLinearOpComposite> op(
new FdmHestonOp(
solverDesc_.mesher, process_.currentLink(),
(!quantoHelper_.empty()) ? quantoHelper_.currentLink()
: boost::shared_ptr<FdmQuantoHelper>()));
solver_ = boost::shared_ptr<Fdm2DimSolver>(
new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
}
Real FdmHestonSolver::valueAt(Real s, Real v) const {
calculate();
return solver_->interpolateAt(std::log(s), v);
}
Real FdmHestonSolver::deltaAt(Real s, Real v) const {
calculate();
return solver_->derivativeX(std::log(s), v)/s;
}
Real FdmHestonSolver::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 FdmHestonSolver::meanVarianceDeltaAt(Real s, Real v) const {
calculate();
const Real alpha = process_->rho()*process_->sigma()/s;
return deltaAt(s, v) + alpha*solver_->derivativeY(std::log(s), v);
}
Real FdmHestonSolver::meanVarianceGammaAt(Real s, Real v) const {
calculate();
const Real x = std::log(s);
const Real alpha = process_->rho()*process_->sigma()/s;
return gammaAt(s, v)
+ solver_->derivativeYY(x, v)*alpha*alpha
+2*solver_->derivativeXY(x, v)*alpha/s;
}
Real FdmHestonSolver::thetaAt(Real s, Real v) const {
calculate();
return solver_->thetaAt(std::log(s), v);
}
}
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