public static void Main()
{
// 1. Create the option (Factory Method pattern)
Option myOption = CreateOption();
// 2. Define the pde of concern (Bridge pattern)
IBSPde pde = new Pde_BS(myOption);
// 3. Discrete mesh sizes.
int J = 325;
int N = J;
Console.Write("NS: ");
J = Convert.ToInt32(Console.ReadLine());
Console.Write("NT: ");
N = Convert.ToInt32(Console.ReadLine());
// 4. The domain in which the PDE is defined.
Range <double> rangeX = new Range <double>(0.0, myOption.FarFieldCondition);
Range <double> rangeT = new Range <double>(0.0, myOption.ExpiryDate);
// 5. Create FDM Solver.
IBVPFDM fdm = new ADE(pde, rangeX, rangeT, J, N);
// 6. Calculate the matrix result.
NumericMatrix <double> sol = fdm.result();
// 7. Display the results in Excel.
ExcelMechanisms exl = new ExcelMechanisms();
try
{
exl.printOneExcel(fdm.XValues, fdm.vecNew, "ADE method", "Stock", "Value", "V");
}
catch (Exception e)
{
Console.WriteLine(e);
}
}
public static void Main()
{
// Option data
double expiry = 0.25;
double strike = 10.0;
double volatility = 0.30;
double interest = 0.06;
double dividend = 0.0;
double truncation = 5 * strike; // Magic number
/* // P = 5.84..
* double expiry = 0.25;
* double strike = 65.0;
* double volatility = 0.30;
* double interest = 0.08;
* double dividend = 0.0;
* double truncation = 5 * strike; // Magic number
*/
Pde_BS pde = new Pde_BS(expiry, strike, volatility, interest, dividend, truncation);
// Numerical data
int J = 325;
int NT = 300 * 300;
Console.WriteLine("Explicit method, be patient ...");
// Create the mesh
Mesher1D mesh = new Mesher1D(0.0, truncation, expiry);
Vector <double> xarr = new Vector <double>(mesh.xarr(J));
Vector <double> tarr = new Vector <double>(mesh.tarr(NT));
FDM fdm = new FDM(pde);
FDMDirector fdir = new FDMDirector(fdm, xarr, tarr);
fdir.Start();
printOneExcel(xarr, fdir.current(), "Value"); // Display in Excel
}
