fdmextoujumpop.hpp

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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 fdmextoujumpop.hpp
    \brief Ornstein Uhlenbeck process plus jumps (Kluge Model)
*/
 
#ifndef quantlib_fdm_ext_ou_jump_op_hpp
#define quantlib_fdm_ext_ou_jump_op_hpp
 
#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
 
namespace QuantLib {
    
    class FdmMesher;
    class YieldTermStructure;
    class LinearInterpolation;
    class ExtOUWithJumpsProcess;
    class FdmExtendedOrnsteinUhlenbeckOp;
    
    /*! References:
        Kluge, Timo L., 2008. Pricing Swing Options and other 
        Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf
    */
 
    class FdmExtOUJumpOp : public FdmLinearOpComposite {
      public:
        FdmExtOUJumpOp(const ext::shared_ptr<FdmMesher>& mesher,
                       const ext::shared_ptr<ExtOUWithJumpsProcess>& process,
                       const ext::shared_ptr<YieldTermStructure>& rTS,
                       const FdmBoundaryConditionSet& bcSet,
                       Size integroIntegrationOrder);
 
        Size size() const override;
        void setTime(Time t1, Time t2) override;
 
        Array apply(const Array& r) const override;
        Array apply_mixed(const Array& r) const override;
 
        Array apply_direction(Size direction, const Array& r) const override;
        Array solve_splitting(Size direction, const Array& r, Real s) const override;
        Array preconditioner(const Array& r, Real s) const override;
 
        std::vector<SparseMatrix> toMatrixDecomp() const override;
      private:
        Array integro(const Array& r) const;
 
        const ext::shared_ptr<FdmMesher> mesher_;
        const ext::shared_ptr<ExtOUWithJumpsProcess> process_;
        const ext::shared_ptr<YieldTermStructure> rTS_;
        const FdmBoundaryConditionSet bcSet_;
        GaussLaguerreIntegration gaussLaguerreIntegration_;
 
        const Array x_;
        const ext::shared_ptr<FdmExtendedOrnsteinUhlenbeckOp> ouOp_;
 
        const TripleBandLinearOp dyMap_;
 
        SparseMatrix integroPart_;
    };
}
 
#endif