Coverage Report

Created: 2025-08-28 06:30

/src/quantlib/ql/methods/finitedifferences/solvers/fdm1dimsolver.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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#include <ql/math/interpolations/cubicinterpolation.hpp>
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#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
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#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
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#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
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#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
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#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
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#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
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#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
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#include <utility>
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namespace QuantLib {
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    Fdm1DimSolver::Fdm1DimSolver(const FdmSolverDesc& solverDesc,
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                                 const FdmSchemeDesc& schemeDesc,
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                                 ext::shared_ptr<FdmLinearOpComposite> op)
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    : solverDesc_(solverDesc), schemeDesc_(schemeDesc), op_(std::move(op)),
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      thetaCondition_(ext::make_shared<FdmSnapshotCondition>(
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          0.99 * std::min(1.0 / 365.0,
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                          solverDesc.condition->stoppingTimes().empty() ?
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                              solverDesc.maturity :
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                              solverDesc.condition->stoppingTimes().front()))),
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      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_, solverDesc.condition)),
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      x_(solverDesc.mesher->layout()->size()), initialValues_(solverDesc.mesher->layout()->size()),
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      resultValues_(solverDesc.mesher->layout()->size()) {
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        for (const auto& iter : *solverDesc.mesher->layout()) {
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            initialValues_[iter.index()]
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                 = solverDesc_.calculator->avgInnerValue(iter,
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                                                         solverDesc.maturity);
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            x_[iter.index()] = solverDesc.mesher->location(iter, 0);
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        }
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    }
Unexecuted instantiation: QuantLib::Fdm1DimSolver::Fdm1DimSolver(QuantLib::FdmSolverDesc const&, QuantLib::FdmSchemeDesc const&, boost::shared_ptr<QuantLib::FdmLinearOpComposite>)
Unexecuted instantiation: QuantLib::Fdm1DimSolver::Fdm1DimSolver(QuantLib::FdmSolverDesc const&, QuantLib::FdmSchemeDesc const&, boost::shared_ptr<QuantLib::FdmLinearOpComposite>)
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    void Fdm1DimSolver::performCalculations() const {
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        Array rhs(initialValues_.size());
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        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
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        FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
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            .rollback(rhs, solverDesc_.maturity, 0.0,
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                      solverDesc_.timeSteps, solverDesc_.dampingSteps);
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        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
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        interpolation_ = ext::make_shared<MonotonicCubicNaturalSpline>(x_.begin(), x_.end(),
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                                        resultValues_.begin());
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    }
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    Real Fdm1DimSolver::interpolateAt(Real x) const {
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        calculate();
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        return (*interpolation_)(x);
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    }
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    Real Fdm1DimSolver::thetaAt(Real x) const {
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        if (conditions_->stoppingTimes().front() == 0.0)
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            return Null<Real>();
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        calculate();
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        Array thetaValues(resultValues_.size());
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        const Array& rhs = thetaCondition_->getValues();
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        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
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        Real temp = MonotonicCubicNaturalSpline(
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            x_.begin(), x_.end(), thetaValues.begin())(x);
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        return ( temp - interpolateAt(x) ) / thetaCondition_->getTime();
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    }
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    Real Fdm1DimSolver::derivativeX(Real x) const {
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        calculate();
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        return interpolation_->derivative(x);
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    }
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    Real Fdm1DimSolver::derivativeXX(Real x) const {
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        calculate();
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        return interpolation_->secondDerivative(x);
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    }
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}