public void calculate()
{
setupArguments(arguments_);
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
var model = new FiniteDifferenceModel <CrankNicolson <TridiagonalOperator> >(finiteDifferenceOperator_, BCs_);
prices_ = (SampledCurve)intrinsicValues_.Clone();
// this is a workaround for pointers to avoid unsafe code
// in the grid calculation Vector temp goes through many operations
object temp = prices_.values();
model.rollback(ref temp, getResidualTime(), 0, timeSteps_);
prices_.setValues((Vector)temp);
results_.value = prices_.valueAtCenter();
results_.delta = prices_.firstDerivativeAtCenter();
results_.gamma = prices_.secondDerivativeAtCenter();
results_.theta = Utils.blackScholesTheta(process_,
results_.value.GetValueOrDefault(),
results_.delta.GetValueOrDefault(),
results_.gamma.GetValueOrDefault());
results_.additionalResults["priceCurve"] = prices_;
}
public FDEuropeanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints, bool timeDependent)
: base(process, timeSteps, gridPoints, timeDependent)
{
prices_ = new SampledCurve(gridPoints);
process.registerWith(update);
}
public void swap(SampledCurve arg0)
{
NQuantLibcPINVOKE.SampledCurve_swap(swigCPtr, SampledCurve.getCPtr(arg0));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void testConstruction()
{
//("Testing sampled curve construction...");
SampledCurve curve = new SampledCurve(Utils.BoundedGrid(-10.0, 10.0, 100));
FSquared f2 = new FSquared();
curve.sample(f2.value);
double expected = 100.0;
if (Math.Abs(curve.value(0) - expected) > 1e-5)
{
Assert.Fail("function sampling failed");
}
curve.setValue(0, 2.0);
if (Math.Abs(curve.value(0) - 2.0) > 1e-5)
{
Assert.Fail("curve value setting failed");
}
Vector value = curve.values();
value[1] = 3.0;
if (Math.Abs(curve.value(1) - 3.0) > 1e-5)
{
Assert.Fail("curve value grid failed");
}
curve.shiftGrid(10.0);
if (Math.Abs(curve.gridValue(0) - 0.0) > 1e-5)
{
Assert.Fail("sample curve shift grid failed");
}
if (Math.Abs(curve.value(0) - 2.0) > 1e-5)
{
Assert.Fail("sample curve shift grid - value failed");
}
curve.sample(f2.value);
curve.regrid(Utils.BoundedGrid(0.0, 20.0, 200));
double tolerance = 1.0e-2;
for (int i = 0; i < curve.size(); i++)
{
double grid = curve.gridValue(i);
double v = curve.value(i);
double exp = f2.value(grid);
if (Math.Abs(v - exp) > tolerance)
{
Assert.Fail("sample curve regriding failed" +
"\n at " + (i + 1) + " point " + "(x = " + grid + ")" +
"\n grid value: " + v +
"\n expected: " + exp);
}
}
}
public SampledCurve priceCurve()
{
SampledCurve ret = new SampledCurve(NQuantLibcPINVOKE.VanillaOption_priceCurve(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SampledCurve obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public SampledCurve priceCurve() {
SampledCurve ret = new SampledCurve(NQuantLibcPINVOKE.DividendVanillaOption_priceCurve(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public void swap(SampledCurve arg0) {
NQuantLibcPINVOKE.SampledCurve_swap(swigCPtr, SampledCurve.getCPtr(arg0));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SampledCurve obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
