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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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/exercise.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>
namespace QuantLib {
Fd2dBlackScholesVanillaEngine::Fd2dBlackScholesVanillaEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& p1,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& p2,
Real correlation,
Size xGrid, Size yGrid,
Size tGrid, Size dampingSteps,
const FdmSchemeDesc& schemeDesc)
: p1_(p1),
p2_(p2),
correlation_(correlation),
xGrid_(xGrid), yGrid_(yGrid), tGrid_(tGrid),
dampingSteps_(dampingSteps),
schemeDesc_(schemeDesc) {
}
void Fd2dBlackScholesVanillaEngine::calculate() const {
// 1. Layout
std::vector<Size> dim;
dim.push_back(xGrid_);
dim.push_back(yGrid_);
boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));
const boost::shared_ptr<BasketPayoff> payoff =
boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
// 2. Mesher
const Time maturity = p1_->time(arguments_.exercise->lastDate());
const boost::shared_ptr<Fdm1dMesher> em1(
new FdmBlackScholesMesher(
xGrid_, p1_, maturity, p1_->x0(),
Null<Real>(), Null<Real>(), 0.0001, 1.5,
std::pair<Real, Real>(p1_->x0(), 0.1)));
const boost::shared_ptr<Fdm1dMesher> em2(
new FdmBlackScholesMesher(
xGrid_, p2_, maturity, p2_->x0(),
Null<Real>(), Null<Real>(), 0.0001, 1.5,
std::pair<Real, Real>(p2_->x0(), 0.1)));
std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
meshers.push_back(em1);
meshers.push_back(em2);
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(layout, meshers));
// 3. Calculator
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmLogBasketInnerValue(payoff, mesher));
// 4. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator,
p1_->riskFreeRate()->referenceDate(),
p1_->riskFreeRate()->dayCounter());
// 5. Boundary conditions
std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
// 6. Solver
const FdmSolverDesc solverDesc = { mesher, boundaries,
conditions, calculator,
maturity, tGrid_, dampingSteps_ };
boost::shared_ptr<Fdm2dBlackScholesSolver> solver(
new Fdm2dBlackScholesSolver(
Handle<GeneralizedBlackScholesProcess>(p1_),
Handle<GeneralizedBlackScholesProcess>(p2_),
correlation_, solverDesc, schemeDesc_));
const Real x = p1_->x0();
const Real y = p2_->x0();
results_.value = solver->valueAt(x, y);
results_.theta = solver->thetaAt(x, y);
}
}
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