//! default theta calculation for Black-Scholes options
public static double blackScholesTheta(GeneralizedBlackScholesProcess p, double value, double delta, double gamma)
{
double u = p.stateVariable().currentLink().value();
double r = p.riskFreeRate().currentLink().zeroRate(0.0, Compounding.Continuous).rate();
double q = p.dividendYield().currentLink().zeroRate(0.0, Compounding.Continuous).rate();
double v = p.localVolatility().currentLink().localVol(0.0, u, false);
return r *value -(r-q)*u *delta - 0.5 *v *v *u *u *gamma;
}
//! default theta calculation for Black-Scholes options
public static double blackScholesTheta(GeneralizedBlackScholesProcess p, double value, double delta, double gamma)
{
double u = p.stateVariable().currentLink().value();
double r = p.riskFreeRate().currentLink().zeroRate(0.0, Compounding.Continuous).rate();
double q = p.dividendYield().currentLink().zeroRate(0.0, Compounding.Continuous).rate();
double v = p.localVolatility().currentLink().localVol(0.0, u, false);
return(r * value - (r - q) * u * delta - 0.5 * v * v * u * u * gamma);
}
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;
}