fdmhullwhitesolver.cpp

/* -*- 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.
*/
 
#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <utility>
 
namespace QuantLib {
 
    FdmHullWhiteSolver::FdmHullWhiteSolver(Handle<HullWhite> model,
                                           FdmSolverDesc solverDesc,
                                           const FdmSchemeDesc& schemeDesc)
    : model_(std::move(model)), solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc) {
        registerWith(model_);
    }
 
 
    void FdmHullWhiteSolver::performCalculations() const {
        const ext::shared_ptr<FdmHullWhiteOp> op(
            ext::make_shared<FdmHullWhiteOp>(solverDesc_.mesher, model_.currentLink(), 0));
 
        solver_ = ext::make_shared<Fdm1DimSolver>(solverDesc_, schemeDesc_, op);
    }
 
    Real FdmHullWhiteSolver::valueAt(Real r) const {
        calculate();
        return solver_->interpolateAt(r);
    }
}