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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
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/methods/finitedifferences/bsmoperator.hpp>
#include <ql/math/transformedgrid.hpp>
#include <ql/methods/finitedifferences/pdebsm.hpp>
namespace QuantLib {
BSMOperator::BSMOperator(Size size, Real dx, Rate r,
Rate q, Volatility sigma)
: TridiagonalOperator(size) {
Real sigma2 = sigma*sigma;
Real nu = r-q-sigma2/2;
Real pd = -(sigma2/dx-nu)/(2*dx);
Real pu = -(sigma2/dx+nu)/(2*dx);
Real pm = sigma2/(dx*dx)+r;
setMidRows(pd,pm,pu);
}
BSMOperator::BSMOperator(const Array& grid,
Rate r, Rate q, Volatility sigma)
: TridiagonalOperator(grid.size()) {
PdeBSM::grid_type logGrid(grid);
Real sigma2 = sigma*sigma;
Real nu = r-q-sigma2/2;
for (Size i=1; i<logGrid.size()-1; ++i) {
Real pd = -(sigma2/logGrid.dxm(i)-nu)/logGrid.dx(i);
Real pu = -(sigma2/logGrid.dxp(i)+nu)/logGrid.dx(i);
Real pm = sigma2/(logGrid.dxm(i)*logGrid.dxp(i)) + r;
setMidRow(i,pd,pm,pu);
}
}
}
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