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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2020 Lew Wei Hao
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 fdmcirsolver.hpp
*/
#ifndef quantlib_fdm_cir_solver_hpp
#define quantlib_fdm_cir_solver_hpp
#include <ql/handle.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
#include <ql/models/shortrate/onefactormodels/coxingersollross.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/coxingersollrossprocess.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
namespace QuantLib {
class HestonProcess;
class Fdm2DimSolver;
class FdmCIRSolver : public LazyObject {
public:
FdmCIRSolver(Handle<CoxIngersollRossProcess> process,
Handle<GeneralizedBlackScholesProcess> bsProcess,
FdmSolverDesc solverDesc,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
Real rho = 1.0,
Real strike = 1.0);
Real valueAt(Real s, Real v) const;
Real deltaAt(Real s, Real v) const;
Real gammaAt(Real s, Real v) const;
Real thetaAt(Real s, Real v) const;
protected:
void performCalculations() const override;
private:
const Handle<GeneralizedBlackScholesProcess> bsProcess_;
const Handle<CoxIngersollRossProcess> cirProcess_;
const FdmSolverDesc solverDesc_;
const FdmSchemeDesc schemeDesc_;
const Real rho_;
const Real strike_;
mutable ext::shared_ptr<Fdm2DimSolver> solver_;
};
}
#endif
|
