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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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 fdm2dblackscholessolver.hpp
*/
#ifndef quantlib_fdm_2d_black_scholes_solver_hpp
#define quantlib_fdm_2d_black_scholes_solver_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
namespace QuantLib {
class Fdm2DimSolver;
class GeneralizedBlackScholesProcess;
class Fdm2dBlackScholesSolver : public LazyObject {
public:
Fdm2dBlackScholesSolver(Handle<GeneralizedBlackScholesProcess> p1,
Handle<GeneralizedBlackScholesProcess> p2,
Real correlation,
FdmSolverDesc solverDesc,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
bool localVol = false,
Real illegalLocalVolOverwrite = -Null<Real>());
Real valueAt(Real x, Real y) const;
Real thetaAt(Real x, Real y) const;
Real deltaXat(Real x, Real y) const;
Real deltaYat(Real x, Real y) const;
Real gammaXat(Real x, Real y) const;
Real gammaYat(Real x, Real y) const;
Real gammaXYat(Real x, Real y) const;
protected:
void performCalculations() const override;
private:
const Handle<GeneralizedBlackScholesProcess> p1_;
const Handle<GeneralizedBlackScholesProcess> p2_;
const Real correlation_;
const FdmSolverDesc solverDesc_;
const FdmSchemeDesc schemeDesc_;
const bool localVol_;
const Real illegalLocalVolOverwrite_;
mutable ext::shared_ptr<Fdm2DimSolver> solver_;
};
}
#endif
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