QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmcirsolver.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2020 Lew Wei Hao
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmcirsolver.hpp
21*/
22
23#ifndef quantlib_fdm_cir_solver_hpp
24#define quantlib_fdm_cir_solver_hpp
25
26#include <ql/handle.hpp>
36
37namespace QuantLib {
38
39 class HestonProcess;
40 class Fdm2DimSolver;
41
42 class FdmCIRSolver : public LazyObject {
43 public:
46 FdmSolverDesc solverDesc,
47 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
48 Real rho = 1.0,
49 Real strike = 1.0);
50
51 Real valueAt(Real s, Real v) const;
52 Real deltaAt(Real s, Real v) const;
53 Real gammaAt(Real s, Real v) const;
54 Real thetaAt(Real s, Real v) const;
55
56 protected:
57 void performCalculations() const override;
58
59 private:
64 const Real rho_;
66
67 mutable ext::shared_ptr<Fdm2DimSolver> solver_;
68 };
69}
70
71#endif
Black-Scholes processes.
ext::shared_ptr< Fdm2DimSolver > solver_
const Handle< CoxIngersollRossProcess > cirProcess_
void performCalculations() const override
Real thetaAt(Real s, Real v) const
const Handle< GeneralizedBlackScholesProcess > bsProcess_
const FdmSolverDesc solverDesc_
Real gammaAt(Real s, Real v) const
Real valueAt(Real s, Real v) const
Real deltaAt(Real s, Real v) const
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Definition: handle.hpp:41
Framework for calculation on demand and result caching.
Definition: lazyobject.hpp:35
Cox-Ingersoll-Ross model.
CoxIngersollRoss process.
Dirichlet boundary conditions for differential operators.
helper class storing market data needed for the quanto adjustment.
QL_REAL Real
real number
Definition: types.hpp:50
Globally accessible relinkable pointer.
Real rho
framework for calculation on demand and result caching
Local volatility term structure base class.
Definition: any.hpp:35
ext::shared_ptr< BlackVolTermStructure > v
static FdmSchemeDesc Hundsdorfer()