/src/quantlib/ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2009 Ralph Schreyer |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <http://quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | /*! |
21 | | * \file fdmsimple2dbssolver.cpp |
22 | | */ |
23 | | |
24 | | #include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp> |
25 | | #include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp> |
26 | | #include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp> |
27 | | #include <utility> |
28 | | |
29 | | namespace QuantLib { |
30 | | |
31 | | FdmSimple2dBSSolver::FdmSimple2dBSSolver(Handle<GeneralizedBlackScholesProcess> process, |
32 | | Real strike, |
33 | | FdmSolverDesc solverDesc, |
34 | | const FdmSchemeDesc& schemeDesc) |
35 | 0 | : process_(std::move(process)), strike_(strike), solverDesc_(std::move(solverDesc)), |
36 | 0 | schemeDesc_(schemeDesc) { |
37 | |
|
38 | 0 | registerWith(process_); |
39 | 0 | } Unexecuted instantiation: QuantLib::FdmSimple2dBSSolver::FdmSimple2dBSSolver(QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, double, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&) Unexecuted instantiation: QuantLib::FdmSimple2dBSSolver::FdmSimple2dBSSolver(QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, double, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&) |
40 | | |
41 | 0 | void FdmSimple2dBSSolver::performCalculations() const { |
42 | 0 | ext::shared_ptr<FdmBlackScholesOp> op(ext::make_shared<FdmBlackScholesOp>( |
43 | 0 | solverDesc_.mesher, process_.currentLink(), strike_)); |
44 | |
|
45 | 0 | solver_ = ext::make_shared<Fdm2DimSolver>(solverDesc_, schemeDesc_, op); |
46 | 0 | } |
47 | | |
48 | 0 | Real FdmSimple2dBSSolver::valueAt(Real s, Real a) const { |
49 | 0 | calculate(); |
50 | 0 | return solver_->interpolateAt(std::log(s), std::log(a)); |
51 | 0 | } |
52 | | |
53 | 0 | Real FdmSimple2dBSSolver::deltaAt(Real s, Real a, Real eps) const { |
54 | 0 | return (valueAt(s+eps, a) - valueAt(s-eps, a))/(2*eps); |
55 | 0 | } |
56 | | |
57 | 0 | Real FdmSimple2dBSSolver::gammaAt(Real s, Real a, Real eps) const { |
58 | 0 | return (valueAt(s+eps, a)+valueAt(s-eps, a)-2*valueAt(s,a))/(eps*eps); |
59 | 0 | } |
60 | | |
61 | 0 | Real FdmSimple2dBSSolver::thetaAt(Real s, Real a) const { |
62 | 0 | calculate(); |
63 | 0 | return solver_->thetaAt(std::log(s), std::log(a)); |
64 | 0 | } |
65 | | } |