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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2020 Lew Wei Hao
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/fdmcirop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmcirsolver.hpp>
namespace QuantLib {
FdmCIRSolver::FdmCIRSolver(
const Handle<CoxIngersollRossProcess>& cirProcess,
const Handle<GeneralizedBlackScholesProcess>& bsProcess,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc,
const Real rho,
const Real strike)
: bsProcess_(bsProcess),
cirProcess_(cirProcess),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc),
rho_(rho),
strike_(strike){
registerWith(bsProcess_);
registerWith(cirProcess_);
}
void FdmCIRSolver::performCalculations() const {
ext::shared_ptr<FdmLinearOpComposite> op(
ext::make_shared<FdmCIROp>(
solverDesc_.mesher,
cirProcess_.currentLink(),
bsProcess_.currentLink(),
rho_,
strike_));
solver_ = ext::make_shared<Fdm2DimSolver>(solverDesc_, schemeDesc_, op);
}
Real FdmCIRSolver::valueAt(Real s, Real r) const {
calculate();
return solver_->interpolateAt(std::log(s), r);
}
Real FdmCIRSolver::deltaAt(Real s, Real r) const {
calculate();
return solver_->derivativeX(std::log(s), r)/s;
}
Real FdmCIRSolver::gammaAt(Real s, Real r) const {
calculate();
const Real x = std::log(s);
return (solver_->derivativeXX(x, r)-solver_->derivativeX(x, r))/(s*s);
}
Real FdmCIRSolver::thetaAt(Real s, Real r) const {
calculate();
return solver_->thetaAt(std::log(s), r);
}
}
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