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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 fdcevvanillaengine.hpp
\brief Finite-Differences pricing engine for the CEV model
*/
#ifndef quantlib_fd_cev_vanilla_engine_hpp
#define quantlib_fd_cev_vanilla_engine_hpp
#include <ql/handle.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
namespace QuantLib {
class YieldTermStructure;
class FdCEVVanillaEngine : public VanillaOption::engine {
public:
FdCEVVanillaEngine(Real f0,
Real alpha,
Real beta,
Handle<YieldTermStructure> discountCurve,
Size tGrid = 50,
Size xGrid = 400,
Size dampingSteps = 0,
Real scalingFactor = 1.0,
Real eps = 1e-4,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
void calculate() const override;
private:
const Real f0_, alpha_, beta_;
const Handle<YieldTermStructure> discountCurve_;
const Size tGrid_, xGrid_, dampingSteps_;
const Real scalingFactor_, eps_;
const FdmSchemeDesc schemeDesc_;
};
}
#endif
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