fdmhestongreensfct.hpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 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 fdmhestongreensfct.hpp
    \brief Heston Fokker-Planck Green's function
*/
 
#ifndef quantlib_fdm_heston_greens_fct_hpp
#define quantlib_fdm_heston_greens_fct_hpp
 
#include <ql/methods/finitedifferences/operators/fdmsquarerootfwdop.hpp>
 
namespace QuantLib {
 
    class HestonProcess;
    class FdmHestonGreensFct {
      public:
        enum Algorithm { ZeroCorrelation, Gaussian, SemiAnalytical };
 
        FdmHestonGreensFct(ext::shared_ptr<FdmMesher> mesher,
                           ext::shared_ptr<HestonProcess> process,
                           FdmSquareRootFwdOp::TransformationType trafoType_,
                           Real l0 = 1.0);
 
        Array get(Time t, Algorithm algorithm) const;
 
      private:
        const Real l0_;
        const ext::shared_ptr<FdmMesher> mesher_;
        const ext::shared_ptr<HestonProcess> process_;
        const FdmSquareRootFwdOp::TransformationType trafoType_;
    };
}
 
#endif