fdm2dblackscholessolver.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 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/fdm2dblackscholesop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
 
namespace QuantLib {
 
    Fdm2dBlackScholesSolver::Fdm2dBlackScholesSolver(Handle<GeneralizedBlackScholesProcess> p1,
                                                     Handle<GeneralizedBlackScholesProcess> p2,
                                                     const Real correlation,
                                                     FdmSolverDesc solverDesc,
                                                     const FdmSchemeDesc& schemeDesc,
                                                     bool localVol,
                                                     Real illegalLocalVolOverwrite)
    : p1_(std::move(p1)), p2_(std::move(p2)), correlation_(correlation),
      solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc), localVol_(localVol),
      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
 
        registerWith(p1_);
        registerWith(p2_);
    }
 
 
    void Fdm2dBlackScholesSolver::performCalculations() const {
        
        ext::shared_ptr<Fdm2dBlackScholesOp> op(
            ext::make_shared<Fdm2dBlackScholesOp>(solverDesc_.mesher,
                                        p1_.currentLink(), 
                                        p2_.currentLink(), 
                                        correlation_,
                                        solverDesc_.maturity,
                                        localVol_,
                                        illegalLocalVolOverwrite_));
 
        solver_ = ext::make_shared<Fdm2DimSolver>(solverDesc_, schemeDesc_, op);
    }
 
    Real Fdm2dBlackScholesSolver::valueAt(Real u, Real v) const {
        calculate();
        const Real x = std::log(u);
        const Real y = std::log(v);
 
        return solver_->interpolateAt(x, y);
    }
    
    Real Fdm2dBlackScholesSolver::thetaAt(Real u, Real v) const {
        calculate();
        const Real x = std::log(u);
        const Real y = std::log(v);
        return solver_->thetaAt(x, y);
    }
 
 
    Real Fdm2dBlackScholesSolver::deltaXat(Real u, Real v) const {
        calculate();
 
        const Real x = std::log(u);
        const Real y = std::log(v);
 
        return solver_->derivativeX(x, y)/u;
    }
 
    Real Fdm2dBlackScholesSolver::deltaYat(Real u, Real v) const {
        calculate();
 
        const Real x = std::log(u);
        const Real y = std::log(v);
 
        return solver_->derivativeY(x, y)/v;
    }
 
    Real Fdm2dBlackScholesSolver::gammaXat(Real u, Real v) const {
        calculate();
        
        const Real x = std::log(u);
        const Real y = std::log(v);
        
        return (solver_->derivativeXX(x, y)
                -solver_->derivativeX(x, y))/(u*u);
    }
 
    Real Fdm2dBlackScholesSolver::gammaYat(Real u, Real v) const {
        calculate();
        
        const Real x = std::log(u);
        const Real y = std::log(v);
        
        return (solver_->derivativeYY(x, y)
                -solver_->derivativeY(x, y))/(v*v);
    }
 
    Real Fdm2dBlackScholesSolver::gammaXYat(Real u, Real v) const {
        calculate();
 
        const Real x = std::log(u);
        const Real y = std::log(v);
 
        return solver_->derivativeXY(x, y)/(u*v);
    }
}