fdmhestonhullwhiteop.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Andreas Gaida
 Copyright (C) 2008 Ralph Schreyer
 Copyright (C) 2008 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 fdmhestonhullwhiteop.hpp
    \brief Heston Hull White linear operator
*/
 
#ifndef quantlib_fdm_heston_hull_white_op_hpp
#define quantlib_fdm_heston_hull_white_op_hpp
 
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 
namespace QuantLib {
 
    class HullWhite;
 
    class FdmHestonHullWhiteEquityPart {
      public:
        FdmHestonHullWhiteEquityPart(const ext::shared_ptr<FdmMesher>& mesher,
                                     ext::shared_ptr<HullWhite> hwModel,
                                     ext::shared_ptr<YieldTermStructure> qTS);
 
        void setTime(Time t1, Time t2);
        const TripleBandLinearOp& getMap() const;
 
      protected:
        const Array x_;
        Array varianceValues_, volatilityValues_;
        const FirstDerivativeOp  dxMap_;
        const TripleBandLinearOp dxxMap_;
        TripleBandLinearOp mapT_;
 
        const ext::shared_ptr<HullWhite> hwModel_;
        const ext::shared_ptr<FdmMesher> mesher_;
        const ext::shared_ptr<YieldTermStructure> qTS_;
    };
 
    class FdmHestonHullWhiteOp : public FdmLinearOpComposite {
      public:
        FdmHestonHullWhiteOp(
            const ext::shared_ptr<FdmMesher>& mesher,
            const ext::shared_ptr<HestonProcess>& hestonProcess,
            const ext::shared_ptr<HullWhiteProcess>& hwProcess,
            Real equityShortRateCorrelation);
 
        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:
        const Real v0_, kappa_, theta_, sigma_, rho_;
        const ext::shared_ptr<HullWhite> hwModel_;
 
        NinePointLinearOp hestonCorrMap_;
        NinePointLinearOp equityIrCorrMap_;
        TripleBandLinearOp dyMap_;
        FdmHestonHullWhiteEquityPart dxMap_;
        FdmHullWhiteOp hullWhiteOp_;
    };
}
 
#endif