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
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008, 2009 Ralph Schreyer
Copyright (C) 2008, 2009 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.
*/
#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
namespace QuantLib {
FdmBlackScholesSolver::FdmBlackScholesSolver(Handle<GeneralizedBlackScholesProcess> process,
Real strike,
FdmSolverDesc solverDesc,
const FdmSchemeDesc& schemeDesc,
bool localVol,
Real illegalLocalVolOverwrite,
Handle<FdmQuantoHelper> quantoHelper)
: process_(std::move(process)), strike_(strike), solverDesc_(std::move(solverDesc)),
schemeDesc_(schemeDesc), localVol_(localVol),
illegalLocalVolOverwrite_(illegalLocalVolOverwrite), quantoHelper_(std::move(quantoHelper)) {
registerWith(process_);
registerWith(quantoHelper_);
}
void FdmBlackScholesSolver::performCalculations() const {
const ext::shared_ptr<FdmBlackScholesOp> op(
ext::make_shared<FdmBlackScholesOp>(
solverDesc_.mesher, process_.currentLink(), strike_,
localVol_, illegalLocalVolOverwrite_, 0,
(quantoHelper_.empty())
? ext::shared_ptr<FdmQuantoHelper>()
: quantoHelper_.currentLink()));
solver_ = ext::make_shared<Fdm1DimSolver>(solverDesc_, schemeDesc_, op);
}
Real FdmBlackScholesSolver::valueAt(Real s) const {
calculate();
return solver_->interpolateAt(std::log(s));
}
Real FdmBlackScholesSolver::deltaAt(Real s) const {
calculate();
return solver_->derivativeX(std::log(s))/s;
}
Real FdmBlackScholesSolver::gammaAt(Real s) const {
calculate();
return (solver_->derivativeXX(std::log(s))
-solver_->derivativeX(std::log(s)))/(s*s);
}
Real FdmBlackScholesSolver::thetaAt(Real s) const {
return solver_->thetaAt(std::log(s));
}
}
|
