fdmaffinemodelswapinnervalue.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2011 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file FdmAffineModelswapinnervalue.cpp
*/
 
#include <ql/models/shortrate/twofactormodels/g2.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
 
namespace QuantLib {
 
    template <>
    Array FdmAffineModelSwapInnerValue<HullWhite>::getState(
        const ext::shared_ptr<HullWhite>& model, Time t,
        const FdmLinearOpIterator& iter) const {
 
        return { model->dynamics()->shortRate(t, mesher_->location(iter, direction_)) };
    }
 
    template <>
    Array FdmAffineModelSwapInnerValue<G2>::getState(
        const ext::shared_ptr<G2>&, Time,
        const FdmLinearOpIterator& iter) const {
 
        return {
            mesher_->location(iter, direction_),
            mesher_->location(iter, direction_+1)
        };
    }
 
}