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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 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.
*/
#include <ql/stochasticprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
namespace QuantLib {
FdmSimpleProcess1dMesher::FdmSimpleProcess1dMesher(
Size size,
const ext::shared_ptr<StochasticProcess1D>& process,
Time maturity, Size tAvgSteps, Real eps, Real mandatoryPoint)
: Fdm1dMesher(size) {
std::fill(locations_.begin(), locations_.end(), 0.0);
for (Size l=1; l<=tAvgSteps; ++l) {
const Real t = (maturity*l)/tAvgSteps;
const Real mp = (mandatoryPoint != Null<Real>()) ? mandatoryPoint
: process->x0();
const Real qMin = std::min(std::min(mp, process->x0()),
process->evolve(0, process->x0(), t,
InverseCumulativeNormal()(eps)));
const Real qMax = std::max(std::max(mp, process->x0()),
process->evolve(0, process->x0(), t,
InverseCumulativeNormal()(1-eps)));
const Real dp = (1-2*eps)/(size-1);
Real p = eps;
locations_[0] += qMin;
for (Size i=1; i < size-1; ++i) {
p += dp;
locations_[i] += process->evolve(0, process->x0(), t,
InverseCumulativeNormal()(p));
}
locations_.back() += qMax;
}
std::transform(locations_.begin(), locations_.end(), locations_.begin(),
[=](Real x) -> Real { return x / tAvgSteps; });
for (Size i=0; i < size-1; ++i) {
dminus_[i+1] = dplus_[i] = locations_[i+1] - locations_[i];
}
dplus_.back() = dminus_.front() = Null<Real>();
}
}
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