fdm2dblackscholessolver.hpp

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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.
*/
 
/*! \file fdm2dblackscholessolver.hpp
*/
 
#ifndef quantlib_fdm_2d_black_scholes_solver_hpp
#define quantlib_fdm_2d_black_scholes_solver_hpp
 
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
namespace QuantLib {
 
    class Fdm2DimSolver;
    class GeneralizedBlackScholesProcess;
 
    class Fdm2dBlackScholesSolver : public LazyObject {
      public:
        Fdm2dBlackScholesSolver(Handle<GeneralizedBlackScholesProcess> p1,
                                Handle<GeneralizedBlackScholesProcess> p2,
                                Real correlation,
                                FdmSolverDesc solverDesc,
                                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
                                bool localVol = false,
                                Real illegalLocalVolOverwrite = -Null<Real>());
 
        Real valueAt(Real x, Real y) const;
        Real thetaAt(Real x, Real y) const;
 
        Real deltaXat(Real x, Real y) const;
        Real deltaYat(Real x, Real y) const;
        Real gammaXat(Real x, Real y) const;
        Real gammaYat(Real x, Real y) const;
        Real gammaXYat(Real x, Real y) const;
 
      protected:
        void performCalculations() const override;
 
      private:
        const Handle<GeneralizedBlackScholesProcess> p1_;
        const Handle<GeneralizedBlackScholesProcess> p2_;
        const Real correlation_;
        const FdmSolverDesc solverDesc_;
        const FdmSchemeDesc schemeDesc_;
        const bool localVol_;
        const Real illegalLocalVolOverwrite_;
 
        mutable ext::shared_ptr<Fdm2DimSolver> solver_;
    };
}
 
#endif