fd2dblackscholesvanillaengine.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 fd2dblackscholesvanillaengine.hpp
    \brief Finite-Differences 2 dim Black Scholes vanilla option engine
*/
 
#ifndef quantlib_fd_2d_black_scholes_vanilla_engine_hpp
#define quantlib_fd_2d_black_scholes_vanilla_engine_hpp
 
#include <ql/pricingengine.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
namespace QuantLib {
 
    //! Two dimensional finite-differences Black Scholes vanilla option engine
 
    /*! \ingroup basketengines
 
        \test the correctness of the returned value is tested by
              reproducing results available in web/literature
              and comparison with Kirk approximation.
    */
    class Fd2dBlackScholesVanillaEngine : public BasketOption::engine {
      public:
          Fd2dBlackScholesVanillaEngine(
                const ext::shared_ptr<GeneralizedBlackScholesProcess>& p1,
                const ext::shared_ptr<GeneralizedBlackScholesProcess>& p2,
                Real correlation,
                Size xGrid = 100, Size yGrid = 100, 
                Size tGrid = 50, Size dampingSteps = 0,
                const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
                bool localVol = false,
                Real illegalLocalVolOverwrite = -Null<Real>());
 
          void calculate() const override;
 
        private:
          const ext::shared_ptr<GeneralizedBlackScholesProcess> p1_;
          const ext::shared_ptr<GeneralizedBlackScholesProcess> p2_;
          const Real correlation_;
          const Size xGrid_, yGrid_, tGrid_;
          const Size dampingSteps_;
          const FdmSchemeDesc schemeDesc_;
          const bool localVol_;
          const Real illegalLocalVolOverwrite_;
    };
}
 
#endif