public FdmDividendHandler(DividendSchedule schedule,
FdmMesher mesher,
Date referenceDate,
DayCounter dayCounter,
int equityDirection)
{
x_ = new Vector(mesher.layout().dim()[equityDirection]);
mesher_ = mesher;
equityDirection_ = equityDirection;
dividends_ = new List <double>();
dividendDates_ = new List <Date>();
dividendTimes_ = new List <double>();
foreach (Dividend iter in schedule)
{
dividends_.Add(iter.amount());
dividendDates_.Add(iter.date());
dividendTimes_.Add(
dayCounter.yearFraction(referenceDate, iter.date()));
}
Vector tmp = mesher_.locations(equityDirection);
int spacing = mesher_.layout().spacing()[equityDirection];
for (int i = 0; i < x_.size(); ++i)
{
x_[i] = Math.Exp(tmp[i * spacing]);
}
}
public FdmDirichletBoundary(FdmMesher mesher,
double valueOnBoundary, int direction, Side side)
{
side_ = side;
valueOnBoundary_ = valueOnBoundary;
indices_ = new FdmIndicesOnBoundary(mesher.layout(),
direction, side).getIndices();
if (side_ == Side.Lower)
{
xExtreme_ = mesher.locations(direction)[0];
}
else if (side_ == Side.Upper)
{
xExtreme_ = mesher
.locations(direction)[mesher.layout().dim()[direction] - 1];
}
else
{
Utils.QL_FAIL("internal error");
}
}
public FdmHullWhiteOp(FdmMesher mesher,
HullWhite model,
int direction)
{
x_ = mesher.locations(direction);
dzMap_ = new TripleBandLinearOp(new FirstDerivativeOp(direction, mesher).mult(-1.0 * x_ * model.a()).add(
new SecondDerivativeOp(direction, mesher).mult(0.5 * model.sigma() * model.sigma()
* new Vector(mesher.layout().size(), 1.0))));
mapT_ = new TripleBandLinearOp(direction, mesher);
direction_ = direction;
model_ = model;
}
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;
}
