lgmfdsolver.hpp

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/*
 Copyright (C) 2024 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file lgmfdsolverx.hpp
    \brief numeric fd solver for LGM model
 
    \ingroup models
*/
 
#pragma once
 
#include <qle/math/randomvariable.hpp>
#include <qle/models/lgmbackwardsolver.hpp>
 
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
namespace QuantExt {
 
//! Numerical FD solver for the LGM model
class LgmFdSolver : public LgmBackwardSolver {
public:
    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;
    // if steps are not given, the time steps per year specified in the constructor
    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;
 
private:
    QuantLib::ext::shared_ptr<LinearGaussMarkovModel> model_;
    Real maxTime_;
    QuantLib::FdmSchemeDesc scheme_;
    Size stateGridPoints_;
    Size timeStepsPerYear_;
    Real mesherEpsilon_;
 
    mutable QuantLib::ext::shared_ptr<FdmMesher> mesher_;              // the mesher for the FD solver
    mutable QuantLib::ext::shared_ptr<FdmLinearOpComposite> operator_; // the operator
    mutable QuantLib::ext::shared_ptr<FdmBackwardSolver> solver_;      // the sovler
 
    RandomVariable mesherLocations_;
};
 
} // namespace QuantExt