fdmbatessolver.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010, 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/methods/finitedifferences/operators/fdmbatesop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
#include <ql/processes/batesprocess.hpp>
#include <utility>
 
 
namespace QuantLib {
 
    FdmBatesSolver::FdmBatesSolver(Handle<BatesProcess> process,
                                   FdmSolverDesc solverDesc,
                                   const FdmSchemeDesc& schemeDesc,
                                   Size integroIntegrationOrder,
                                   Handle<FdmQuantoHelper> quantoHelper)
    : process_(std::move(process)), solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc),
      integroIntegrationOrder_(integroIntegrationOrder), quantoHelper_(std::move(quantoHelper)) {
        registerWith(process_);
        registerWith(quantoHelper_);
    }
 
    void FdmBatesSolver::performCalculations() const {
        ext::shared_ptr<FdmLinearOpComposite> op(
            new FdmBatesOp(solverDesc_.mesher, process_.currentLink(),
                           solverDesc_.bcSet, integroIntegrationOrder_,
                           (!quantoHelper_.empty()) 
                                   ? quantoHelper_.currentLink()
                                   : ext::shared_ptr<FdmQuantoHelper>()));
 
        solver_ = ext::make_shared<Fdm2DimSolver>(
                               solverDesc_, schemeDesc_, op);
    }
 
    Real FdmBatesSolver::valueAt(Real s, Real v) const {
        calculate();
        return solver_->interpolateAt(std::log(s), v);
    }
 
    Real FdmBatesSolver::deltaAt(Real s, Real v) const {
        calculate();
        return solver_->derivativeX(std::log(s), v)/s;
    }
 
    Real FdmBatesSolver::gammaAt(Real s, Real v) const {
        calculate();
        const Real x = std::log(s);
        return (solver_->derivativeXX(x, v)-solver_->derivativeX(x, v))/(s*s);
    }
 
    Real FdmBatesSolver::thetaAt(Real s, Real v) const {
        calculate();
        return solver_->thetaAt(std::log(s), v);
    }
 
}