1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2011 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 FdmAffineModelswapinnervalue.cpp 21 */ 22 23 #include <ql/models/shortrate/twofactormodels/g2.hpp> 24 #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> 25 #include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp> 26 27 namespace QuantLib { 28 29 template <> getState(const ext::shared_ptr<HullWhite> & model,Time t,const FdmLinearOpIterator & iter) const30 Disposable<Array> FdmAffineModelSwapInnerValue<HullWhite>::getState( 31 const ext::shared_ptr<HullWhite>& model, Time t, 32 const FdmLinearOpIterator& iter) const { 33 34 Array retVal(1, model->dynamics()->shortRate(t, 35 mesher_->location(iter, direction_))); 36 return retVal; 37 } 38 39 template <> getState(const ext::shared_ptr<G2> &,Time,const FdmLinearOpIterator & iter) const40 Disposable<Array> FdmAffineModelSwapInnerValue<G2>::getState( 41 const ext::shared_ptr<G2>&, Time, 42 const FdmLinearOpIterator& iter) const { 43 44 Array retVal(2); 45 retVal[0] = mesher_->location(iter, direction_); 46 retVal[1] = mesher_->location(iter, direction_+1); 47 48 return retVal; 49 } 50 51 } 52