QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmbatessolver.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2010 Klaus Spanderen
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 fdmbatessolver.hpp
21*/
22
23#ifndef quantlib_fdm_bates_solver_hpp
24#define quantlib_fdm_bates_solver_hpp
25
26#include <ql/handle.hpp>
32
33namespace QuantLib {
34
35 class BatesProcess;
36
37 class FdmBatesSolver : public LazyObject {
38 public:
40 FdmSolverDesc solverDesc,
41 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
42 Size integroIntegrationOrder = 12,
44
45 Real valueAt(Real s, Real v) const;
46 Real thetaAt(Real s, Real v) const;
47
48 // First and second order derivative with respect to S_t.
49 // Please note that this is not the "model implied" delta or gamma.
50 // E.g. see Fabio Mercurio, Massimo Morini
51 // "A Note on Hedging with Local and Stochastic Volatility Models",
52 // http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1294284
53 Real deltaAt(Real s, Real v) const;
54 Real gammaAt(Real s, Real v) const;
55
56 protected:
57 void performCalculations() const override;
58
59 private:
65
66 mutable ext::shared_ptr<Fdm2DimSolver> solver_;
67 };
68}
69
70#endif
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
Real thetaAt(Real s, Real v) const
const FdmSolverDesc solverDesc_
const Handle< BatesProcess > process_
Real gammaAt(Real s, Real v) const
Real valueAt(Real s, Real v) const
Real deltaAt(Real s, Real v) const
const Handle< FdmQuantoHelper > quantoHelper_
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Definition: handle.hpp:41
Framework for calculation on demand and result caching.
Definition: lazyobject.hpp:35
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
std::size_t Size
size of a container
Definition: types.hpp:58
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
Definition: any.hpp:35
ext::shared_ptr< BlackVolTermStructure > v
static FdmSchemeDesc Hundsdorfer()