fdm1dimsolver.cpp

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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.
*/
 
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <utility>
 
namespace QuantLib {
 
    Fdm1DimSolver::Fdm1DimSolver(const FdmSolverDesc& solverDesc,
                                 const FdmSchemeDesc& schemeDesc,
                                 ext::shared_ptr<FdmLinearOpComposite> op)
    : solverDesc_(solverDesc), schemeDesc_(schemeDesc), op_(std::move(op)),
      thetaCondition_(ext::make_shared<FdmSnapshotCondition>(
          0.99 * std::min(1.0 / 365.0,
                          solverDesc.condition->stoppingTimes().empty() ?
                              solverDesc.maturity :
                              solverDesc.condition->stoppingTimes().front()))),
      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_, solverDesc.condition)),
      x_(solverDesc.mesher->layout()->size()), initialValues_(solverDesc.mesher->layout()->size()),
      resultValues_(solverDesc.mesher->layout()->size()) {
 
        for (const auto& iter : *solverDesc.mesher->layout()) {
            initialValues_[iter.index()]
                 = solverDesc_.calculator->avgInnerValue(iter,
                                                         solverDesc.maturity);
            x_[iter.index()] = solverDesc.mesher->location(iter, 0);
        }
    }
 
 
    void Fdm1DimSolver::performCalculations() const {
        Array rhs(initialValues_.size());
        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
 
        FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
            .rollback(rhs, solverDesc_.maturity, 0.0,
                      solverDesc_.timeSteps, solverDesc_.dampingSteps);
 
        std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
        interpolation_ = ext::make_shared<MonotonicCubicNaturalSpline>(x_.begin(), x_.end(),
                                        resultValues_.begin());
    }
 
    Real Fdm1DimSolver::interpolateAt(Real x) const {
        calculate();
        return (*interpolation_)(x);
    }
 
    Real Fdm1DimSolver::thetaAt(Real x) const {
        if (conditions_->stoppingTimes().front() == 0.0)
            return Null<Real>();
 
        calculate();
        Array thetaValues(resultValues_.size());
 
        const Array& rhs = thetaCondition_->getValues();
        std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
 
        Real temp = MonotonicCubicNaturalSpline(
            x_.begin(), x_.end(), thetaValues.begin())(x);
        return ( temp - interpolateAt(x) ) / thetaCondition_->getTime();
    }
 
 
    Real Fdm1DimSolver::derivativeX(Real x) const {
        calculate();
        return interpolation_->derivative(x);
    }
 
    Real Fdm1DimSolver::derivativeXX(Real x) const {
        calculate();
        return interpolation_->secondDerivative(x);
    }
}