public FirstDerivativeOp(FirstDerivativeOp rhs)
: base(rhs.direction_, rhs.mesher_)
{
lower_ = rhs.lower_;
diag_ = rhs.diag_;
upper_ = rhs.upper_;
}
public FdmBlackScholesOp(FdmMesher mesher,
GeneralizedBlackScholesProcess bsProcess,
double strike,
bool localVol = false,
double?illegalLocalVolOverwrite = null,
int direction = 0)
{
mesher_ = mesher;
rTS_ = bsProcess.riskFreeRate().currentLink();
qTS_ = bsProcess.dividendYield().currentLink();
volTS_ = bsProcess.blackVolatility().currentLink();
localVol_ = (localVol) ? bsProcess.localVolatility().currentLink()
: null;
x_ = (localVol) ? new Vector(Vector.Exp(mesher.locations(direction))) : null;
dxMap_ = new FirstDerivativeOp(direction, mesher);
dxxMap_ = new SecondDerivativeOp(direction, mesher);
mapT_ = new TripleBandLinearOp(direction, mesher);
strike_ = strike;
illegalLocalVolOverwrite_ = illegalLocalVolOverwrite;
direction_ = direction;
}
