QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 <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 fdmhullwhitesolver.cpp
21*/
22
28#include <utility>
29
30namespace QuantLib {
31
33 FdmSolverDesc solverDesc,
34 const FdmSchemeDesc& schemeDesc)
35 : model_(std::move(model)), solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc) {
37 }
38
39
41 const ext::shared_ptr<FdmHullWhiteOp> op(
42 ext::make_shared<FdmHullWhiteOp>(solverDesc_.mesher, model_.currentLink(), 0));
43
44 solver_ = ext::make_shared<Fdm1DimSolver>(solverDesc_, schemeDesc_, op);
45 }
46
48 calculate();
49 return solver_->interpolateAt(r);
50 }
51}
void performCalculations() const override
FdmHullWhiteSolver(Handle< HullWhite > model, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
ext::shared_ptr< Fdm1DimSolver > solver_
const Handle< HullWhite > model_
Shared handle to an observable.
Definition: handle.hpp:41
const ext::shared_ptr< T > & currentLink() const
dereferencing
Definition: handle.hpp:173
virtual void calculate() const
Definition: lazyobject.hpp:253
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
FDM operator for the Hull-White interest rate model.
step condition for value inspection
QL_REAL Real
real number
Definition: types.hpp:50
Hull & White (HW) model.
Definition: any.hpp:35
STL namespace.
ext::shared_ptr< YieldTermStructure > r
const ext::shared_ptr< FdmMesher > mesher