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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Ralph Schreyer
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 fdmsimple2dbssolver.cpp
*/
#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>
namespace QuantLib {
FdmSimple2dBSSolver::FdmSimple2dBSSolver(
const Handle<GeneralizedBlackScholesProcess>& process,
Real strike,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc)
: process_(process),
strike_(strike),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc) {
registerWith(process_);
}
void FdmSimple2dBSSolver::performCalculations() const {
boost::shared_ptr<FdmBlackScholesOp> op(new FdmBlackScholesOp(
solverDesc_.mesher, process_.currentLink(), strike_));
solver_ = boost::shared_ptr<Fdm2DimSolver>(
new Fdm2DimSolver(solverDesc_, schemeDesc_, op));
}
Real FdmSimple2dBSSolver::valueAt(Real s, Real a) const {
calculate();
return solver_->interpolateAt(std::log(s), std::log(a));
}
Real FdmSimple2dBSSolver::deltaAt(Real s, Real a, Real eps) const {
return (valueAt(s+eps, a) - valueAt(s-eps, a))/(2*eps);
}
Real FdmSimple2dBSSolver::gammaAt(Real s, Real a, Real eps) const {
return (valueAt(s+eps, a)+valueAt(s-eps, a)-2*valueAt(s,a))/(eps*eps);
}
Real FdmSimple2dBSSolver::thetaAt(Real s, Real a) const {
calculate();
return solver_->thetaAt(std::log(s), std::log(a));
}
}
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