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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 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 fdmcev1dmesher.cpp */
#include <ql/shared_ptr.hpp>
#include <ql/methods/finitedifferences/meshers/fdmcev1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp>
#include <ql/methods/finitedifferences/utilities/cevrndcalculator.hpp>
namespace QuantLib {
FdmCEV1dMesher::FdmCEV1dMesher(
Size size,
Real f0, Real alpha, Real beta,
Time maturity, Real eps,Real scaleFactor,
const std::pair<Real, Real>& cPoint)
: Fdm1dMesher(size) {
const CEVRNDCalculator rndCalculator(f0, alpha, beta);
const Real upperBound =
scaleFactor*rndCalculator.invcdf(1-eps, maturity);
const Real massAtZero = rndCalculator.massAtZero(maturity);
const Real lowerBound = (massAtZero > eps)
? ((beta < 0)? QL_EPSILON : 0.0)
: Real(rndCalculator.invcdf(eps, maturity)/scaleFactor);
ext::shared_ptr<Fdm1dMesher> helper;
if ( cPoint.first != Null<Real>()
&& cPoint.first >= lowerBound && cPoint.first <= upperBound) {
helper = ext::make_shared<Concentrating1dMesher>(
lowerBound, upperBound,size, cPoint);
}
else {
helper = ext::make_shared<Uniform1dMesher>(
lowerBound, upperBound, size );
}
std::copy(helper->locations().begin(),
helper->locations().end(),
locations_.begin());
for (Size i=0; i < locations_.size(); ++i) {
dplus_[i] = helper->dplus(i);
dminus_[i] = helper->dminus(i);
}
}
}
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