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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 fdmhullwhitesolver.cpp
*/
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp>
#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
namespace QuantLib {
FdmHullWhiteSolver::FdmHullWhiteSolver(
const Handle<HullWhite>& model,
const FdmSolverDesc& solverDesc,
const FdmSchemeDesc& schemeDesc)
: model_(model),
solverDesc_(solverDesc),
schemeDesc_(schemeDesc) {
registerWith(model_);
}
void FdmHullWhiteSolver::performCalculations() const {
const ext::shared_ptr<FdmHullWhiteOp> op(
ext::make_shared<FdmHullWhiteOp>(solverDesc_.mesher, model_.currentLink(), 0));
solver_ = ext::make_shared<Fdm1DimSolver>(solverDesc_, schemeDesc_, op);
}
Real FdmHullWhiteSolver::valueAt(Real r) const {
calculate();
return solver_->interpolateAt(r);
}
}
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