/src/quantlib/ql/methods/finitedifferences/solvers/fdmhullwhitesolver.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2011 Klaus Spanderen |
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 | | <https://www.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 | | /*! \file fdmhullwhitesolver.cpp |
21 | | */ |
22 | | |
23 | | #include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp> |
24 | | #include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp> |
25 | | #include <ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp> |
26 | | #include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp> |
27 | | #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> |
28 | | #include <utility> |
29 | | |
30 | | namespace QuantLib { |
31 | | |
32 | | FdmHullWhiteSolver::FdmHullWhiteSolver(Handle<HullWhite> model, |
33 | | FdmSolverDesc solverDesc, |
34 | | const FdmSchemeDesc& schemeDesc) |
35 | 0 | : model_(std::move(model)), solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc) { |
36 | 0 | registerWith(model_); |
37 | 0 | } Unexecuted instantiation: QuantLib::FdmHullWhiteSolver::FdmHullWhiteSolver(QuantLib::Handle<QuantLib::HullWhite>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&) Unexecuted instantiation: QuantLib::FdmHullWhiteSolver::FdmHullWhiteSolver(QuantLib::Handle<QuantLib::HullWhite>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&) |
38 | | |
39 | | |
40 | 0 | void FdmHullWhiteSolver::performCalculations() const { |
41 | 0 | const ext::shared_ptr<FdmHullWhiteOp> op( |
42 | 0 | ext::make_shared<FdmHullWhiteOp>(solverDesc_.mesher, model_.currentLink(), 0)); |
43 | |
|
44 | 0 | solver_ = ext::make_shared<Fdm1DimSolver>(solverDesc_, schemeDesc_, op); |
45 | 0 | } |
46 | | |
47 | 0 | Real FdmHullWhiteSolver::valueAt(Real r) const { |
48 | 0 | calculate(); |
49 | 0 | return solver_->interpolateAt(r); |
50 | 0 | } |
51 | | } |