LgmFdSolver Class Reference

Numerical FD solver for the LGM model. More...

#include <qle/models/lgmfdsolver.hpp>

Inheritance diagram for LgmFdSolver:

Collaboration diagram for LgmFdSolver:

Public Member Functions
	LgmFdSolver (const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &model, const Real maxTime=50.0, const QuantLib::FdmSchemeDesc scheme=QuantLib::FdmSchemeDesc::Douglas(), const Size stateGridPoints=64, const Size timeStepsPerYear=24, const Real mesherEpsilon=1E-4)
Size	gridSize () const override
RandomVariable	stateGrid (const Real t) const override
RandomVariable	rollback (const RandomVariable &v, const Real t1, const Real t0, Size steps=Null< Size >()) const override
const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const override
Public Member Functions inherited from LgmBackwardSolver
virtual	~LgmBackwardSolver ()
virtual Size	gridSize () const =0
virtual RandomVariable	stateGrid (const Real t) const =0
virtual RandomVariable	rollback (const RandomVariable &v, const Real t1, const Real t0, Size steps=Null< Size >()) const =0
virtual const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model () const =0

Private Attributes
QuantLib::ext::shared_ptr< LinearGaussMarkovModel >	model_
Real	maxTime_
QuantLib::FdmSchemeDesc	scheme_
Size	stateGridPoints_
Size	timeStepsPerYear_
Real	mesherEpsilon_
QuantLib::ext::shared_ptr< FdmMesher >	mesher_
QuantLib::ext::shared_ptr< FdmLinearOpComposite >	operator_
QuantLib::ext::shared_ptr< FdmBackwardSolver >	solver_
RandomVariable	mesherLocations_

Detailed Description

Numerical FD solver for the LGM model.

Definition at line 36 of file lgmfdsolver.hpp.

Constructor & Destructor Documentation

LgmFdSolver()

LgmFdSolver	(	const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > &	model,
		const Real	maxTime = 50.0,
		const QuantLib::FdmSchemeDesc	scheme = QuantLib::FdmSchemeDesc::Douglas(),
		const Size	stateGridPoints = 64,
		const Size	timeStepsPerYear = 24,
		const Real	mesherEpsilon = 1E-4
	)

Definition at line 28 of file lgmfdsolver.cpp.

    : model_(model), maxTime_(maxTime), scheme_(scheme), stateGridPoints_(stateGridPoints),
      timeStepsPerYear_(timeStepsPerYear), mesherEpsilon_(mesherEpsilon) {
    mesher_ = QuantLib::ext::make_shared<FdmMesherComposite>(QuantLib::ext::make_shared<FdmSimpleProcess1dMesher>(
        stateGridPoints, QuantLib::ext::dynamic_pointer_cast<StochasticProcess1D>(model->stateProcess()), maxTime_,
        timeStepsPerYear_, mesherEpsilon_));
    mesherLocations_ = RandomVariable(mesher_->locations(0));
    operator_ = QuantLib::ext::make_shared<QuantExt::FdmLgmOp>(
        mesher_, QuantLib::ext::dynamic_pointer_cast<StochasticProcess1D>(model->stateProcess()));
    solver_ = QuantLib::ext::make_shared<FdmBackwardSolver>(
        operator_, std::vector<QuantLib::ext::shared_ptr<BoundaryCondition<FdmLinearOp>>>(), nullptr, scheme_);
}

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Member Function Documentation

gridSize()

Size gridSize ( ) const

overridevirtual

Implements LgmBackwardSolver.

Definition at line 43 of file lgmfdsolver.cpp.

{ return stateGridPoints_; }

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stateGrid()

RandomVariable stateGrid ( const Real  t ) const

overridevirtual

Implements LgmBackwardSolver.

Definition at line 45 of file lgmfdsolver.cpp.

{ return mesherLocations_; }

rollback()

RandomVariable rollback ( const RandomVariable &  v, const Real  t1, const Real  t0, Size  steps = Null<Size>()  ) const

overridevirtual

Implements LgmBackwardSolver.

Definition at line 49 of file lgmfdsolver.cpp.

                                                                                                            {
    if (QuantLib::close_enough(t0, t1) || v.deterministic())
        return v;
    QL_REQUIRE(t0 < t1, "LgmCFdSolver::rollback(): t0 (" << t0 << ") < t1 (" << t1 << ") required.");
    if (steps == Null<Size>())
        steps = std::max<Size>(1, static_cast<Size>(static_cast<double>(timeStepsPerYear_) * (t1 - t0) + 0.5));
    Array workingArray(v.size());
    v.copyToArray(workingArray);
    solver_->rollback(workingArray, t1, t0, steps, 0);
    if (QuantLib::close_enough(t0, 0.0)) {
        Array x = mesher_->locations(0);
        MonotonicCubicNaturalSpline interpolation(x.begin(), x.end(), workingArray.begin());
        interpolation.enableExtrapolation();
        return RandomVariable(gridSize(), interpolation(0.0));
    } else {
        return RandomVariable(workingArray);
    }
}

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model()

const QuantLib::ext::shared_ptr< LinearGaussMarkovModel > & model ( ) const

overridevirtual

Implements LgmBackwardSolver.

Definition at line 47 of file lgmfdsolver.cpp.

{ return model_; }

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Member Data Documentation

model_

QuantLib::ext::shared_ptr<LinearGaussMarkovModel> model_

private

Definition at line 49 of file lgmfdsolver.hpp.

maxTime_

Real maxTime_

private

Definition at line 50 of file lgmfdsolver.hpp.

scheme_

QuantLib::FdmSchemeDesc scheme_

private

Definition at line 51 of file lgmfdsolver.hpp.

stateGridPoints_

Size stateGridPoints_

private

Definition at line 52 of file lgmfdsolver.hpp.

timeStepsPerYear_

Size timeStepsPerYear_

private

Definition at line 53 of file lgmfdsolver.hpp.

mesherEpsilon_

Real mesherEpsilon_

private

Definition at line 54 of file lgmfdsolver.hpp.

mesher_

QuantLib::ext::shared_ptr<FdmMesher> mesher_

mutableprivate

Definition at line 56 of file lgmfdsolver.hpp.

operator_

QuantLib::ext::shared_ptr<FdmLinearOpComposite> operator_

mutableprivate

Definition at line 57 of file lgmfdsolver.hpp.

solver_

QuantLib::ext::shared_ptr<FdmBackwardSolver> solver_

mutableprivate

Definition at line 58 of file lgmfdsolver.hpp.

mesherLocations_

RandomVariable mesherLocations_

private

Definition at line 60 of file lgmfdsolver.hpp.