Coverage Report

Created: 2025-08-05 06:45

/src/quantlib/ql/methods/finitedifferences/solvers/fdmg2solver.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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 Copyright (C) 2011 Klaus Spanderen
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 This file is part of QuantLib, a free-software/open-source library
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 for financial quantitative analysts and developers - http://quantlib.org/
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 QuantLib is free software: you can redistribute it and/or modify it
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 under the terms of the QuantLib license.  You should have received a
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 copy of the license along with this program; if not, please email
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 <http://quantlib.org/license.shtml>.
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 This program is distributed in the hope that it will be useful, but WITHOUT
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 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
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*/
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/*! \file fdmg2solver.cpp
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*/
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#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
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#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
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#include <ql/methods/finitedifferences/solvers/fdmg2solver.hpp>
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#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
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#include <ql/models/shortrate/twofactormodels/g2.hpp>
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#include <utility>
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namespace QuantLib {
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    FdmG2Solver::FdmG2Solver(Handle<G2> model,
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                             FdmSolverDesc solverDesc,
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                             const FdmSchemeDesc& schemeDesc)
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    : model_(std::move(model)), solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc) {
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        registerWith(model_);
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    }
Unexecuted instantiation: QuantLib::FdmG2Solver::FdmG2Solver(QuantLib::Handle<QuantLib::G2>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&)
Unexecuted instantiation: QuantLib::FdmG2Solver::FdmG2Solver(QuantLib::Handle<QuantLib::G2>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&)
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    void FdmG2Solver::performCalculations() const {
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        const ext::shared_ptr<FdmG2Op> op(
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            new FdmG2Op(solverDesc_.mesher, model_.currentLink(), 0, 1));
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        solver_ = ext::make_shared<Fdm2DimSolver>(
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            solverDesc_, schemeDesc_, op);
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    }
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    Real FdmG2Solver::valueAt(Real x, Real y) const {
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        calculate();
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        return solver_->interpolateAt(x, y);
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    }
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}