1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2008 Andreas Gaida 5 Copyright (C) 2008, 2009 Ralph Schreyer 6 Copyright (C) 2008, 2009, 2011, 2014, 2015 Klaus Spanderen 7 Copyright (C) 2015 Johannes Göttker-Schnetmann 8 9 This file is part of QuantLib, a free-software/open-source library 10 for financial quantitative analysts and developers - http://quantlib.org/ 11 12 QuantLib is free software: you can redistribute it and/or modify it 13 under the terms of the QuantLib license. You should have received a 14 copy of the license along with this program; if not, please email 15 <quantlib-dev@lists.sf.net>. The license is also available online at 16 <http://quantlib.org/license.shtml>. 17 18 This program is distributed in the hope that it will be useful, but WITHOUT 19 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 20 FOR A PARTICULAR PURPOSE. See the license for more details. 21 */ 22 23 #include <ql/processes/hestonprocess.hpp> 24 #include <ql/methods/finitedifferences/operators/fdmhestonop.hpp> 25 #include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp> 26 #include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp> 27 28 namespace QuantLib { 29 FdmHestonSolver(const Handle<HestonProcess> & process,const FdmSolverDesc & solverDesc,const FdmSchemeDesc & schemeDesc,const Handle<FdmQuantoHelper> & quantoHelper,const ext::shared_ptr<LocalVolTermStructure> & leverageFct,const Real mixingFactor)30 FdmHestonSolver::FdmHestonSolver( 31 const Handle<HestonProcess>& process, 32 const FdmSolverDesc& solverDesc, 33 const FdmSchemeDesc& schemeDesc, 34 const Handle<FdmQuantoHelper>& quantoHelper, 35 const ext::shared_ptr<LocalVolTermStructure>& leverageFct, 36 const Real mixingFactor) 37 : process_(process), 38 solverDesc_(solverDesc), 39 schemeDesc_(schemeDesc), 40 quantoHelper_(quantoHelper), 41 leverageFct_(leverageFct), 42 mixingFactor_(mixingFactor) { 43 44 registerWith(process_); 45 registerWith(quantoHelper_); 46 } 47 performCalculations() const48 void FdmHestonSolver::performCalculations() const { 49 ext::shared_ptr<FdmLinearOpComposite> op( 50 ext::make_shared<FdmHestonOp>( 51 solverDesc_.mesher, process_.currentLink(), 52 (!quantoHelper_.empty()) ? quantoHelper_.currentLink() 53 : ext::shared_ptr<FdmQuantoHelper>(), 54 leverageFct_, mixingFactor_)); 55 56 solver_ = ext::make_shared<Fdm2DimSolver>(solverDesc_, schemeDesc_, op); 57 } 58 valueAt(Real s,Real v) const59 Real FdmHestonSolver::valueAt(Real s, Real v) const { 60 calculate(); 61 return solver_->interpolateAt(std::log(s), v); 62 } 63 deltaAt(Real s,Real v) const64 Real FdmHestonSolver::deltaAt(Real s, Real v) const { 65 calculate(); 66 return solver_->derivativeX(std::log(s), v)/s; 67 } 68 gammaAt(Real s,Real v) const69 Real FdmHestonSolver::gammaAt(Real s, Real v) const { 70 calculate(); 71 const Real x = std::log(s); 72 return (solver_->derivativeXX(x, v)-solver_->derivativeX(x, v))/(s*s); 73 } 74 meanVarianceDeltaAt(Real s,Real v) const75 Real FdmHestonSolver::meanVarianceDeltaAt(Real s, Real v) const { 76 calculate(); 77 78 const Real alpha = process_->rho()*process_->sigma()/s; 79 return deltaAt(s, v) + alpha*solver_->derivativeY(std::log(s), v); 80 } 81 meanVarianceGammaAt(Real s,Real v) const82 Real FdmHestonSolver::meanVarianceGammaAt(Real s, Real v) const { 83 calculate(); 84 85 const Real x = std::log(s); 86 const Real alpha = process_->rho()*process_->sigma()/s; 87 return gammaAt(s, v) 88 + solver_->derivativeYY(x, v)*alpha*alpha 89 +2*solver_->derivativeXY(x, v)*alpha/s; 90 } 91 thetaAt(Real s,Real v) const92 Real FdmHestonSolver::thetaAt(Real s, Real v) const { 93 calculate(); 94 return solver_->thetaAt(std::log(s), v); 95 } 96 } 97