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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 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.
*/
/*! \file fdmg2solver.cpp
*/
#include <ql/models/shortrate/twofactormodels/g2.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmg2solver.hpp>
#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
namespace QuantLib {
FdmG2Solver::FdmG2Solver(
const Handle<G2>& model,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc)
: model_(model),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc) {
registerWith(model_);
}
void FdmG2Solver::performCalculations() const {
const ext::shared_ptr<FdmG2Op> op(
new FdmG2Op(solverDesc_.mesher, model_.currentLink(), 0, 1));
solver_ = ext::make_shared<Fdm2DimSolver>(
solverDesc_, schemeDesc_, op);
}
Real FdmG2Solver::valueAt(Real x, Real y) const {
calculate();
return solver_->interpolateAt(x, y);
}
}
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