1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
|
/* -*- 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
<https://www.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 fdmextoujumpsolver.cpp
*/
#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <utility>
namespace QuantLib {
FdmExtOUJumpSolver::FdmExtOUJumpSolver(Handle<ExtOUWithJumpsProcess> process,
ext::shared_ptr<YieldTermStructure> rTS,
FdmSolverDesc solverDesc,
const FdmSchemeDesc& schemeDesc)
: process_(std::move(process)), rTS_(std::move(rTS)), solverDesc_(std::move(solverDesc)),
schemeDesc_(schemeDesc) {
registerWith(process_);
}
void FdmExtOUJumpSolver::performCalculations() const {
ext::shared_ptr<FdmLinearOpComposite>op(
new FdmExtOUJumpOp(solverDesc_.mesher, process_.currentLink(),
rTS_, solverDesc_.bcSet, 32));
solver_ = ext::make_shared<Fdm2DimSolver>(
solverDesc_, schemeDesc_, op);
}
Real FdmExtOUJumpSolver::valueAt(Real x, Real y) const {
calculate();
return solver_->interpolateAt(x, y);
}
}
|
