QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmextoujumpsolver.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 <http://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 fdmextoujumpsolver.cpp
21*/
22
27#include <utility>
28
29namespace QuantLib {
30
32 ext::shared_ptr<YieldTermStructure> rTS,
33 FdmSolverDesc solverDesc,
34 const FdmSchemeDesc& schemeDesc)
35 : process_(std::move(process)), rTS_(std::move(rTS)), solverDesc_(std::move(solverDesc)),
36 schemeDesc_(schemeDesc) {
37
39 }
40
42 ext::shared_ptr<FdmLinearOpComposite>op(
43 new FdmExtOUJumpOp(solverDesc_.mesher, process_.currentLink(),
44 rTS_, solverDesc_.bcSet, 32));
45
46 solver_ = ext::make_shared<Fdm2DimSolver>(
48 }
49
51 calculate();
52 return solver_->interpolateAt(x, y);
53 }
54}
55
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
Real valueAt(Real x, Real y) const
const ext::shared_ptr< YieldTermStructure > rTS_
FdmExtOUJumpSolver(Handle< ExtOUWithJumpsProcess > process, ext::shared_ptr< YieldTermStructure > rTS, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
const Handle< ExtOUWithJumpsProcess > process_
Shared handle to an observable.
Definition: handle.hpp:41
virtual void calculate() const
Definition: lazyobject.hpp:253
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
const ext::shared_ptr< YieldTermStructure > rTS_
Ornstein Uhlenbeck process plus jumps (Kluge Model)
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
STL namespace.
const FdmBoundaryConditionSet bcSet
const ext::shared_ptr< FdmMesher > mesher