public FdmHestonEquityPart(FdmMesher mesher,
YieldTermStructure rTS,
YieldTermStructure qTS,
FdmQuantoHelper quantoHelper = null,
LocalVolTermStructure leverageFct = null)
{
varianceValues_ = new Vector(0.5 * mesher.locations(1));
dxMap_ = new FirstDerivativeOp(0, mesher);
dxxMap_ = new SecondDerivativeOp(0, mesher).mult(0.5 * mesher.locations(1));
mapT_ = new TripleBandLinearOp(0, mesher);
mesher_ = mesher;
rTS_ = rTS;
qTS_ = qTS;
quantoHelper_ = quantoHelper;
leverageFct_ = leverageFct;
// on the boundary s_min and s_max the second derivative
// d^2V/dS^2 is zero and due to Ito's Lemma the variance term
// in the drift should vanish.
FdmLinearOpLayout layout = mesher_.layout();
FdmLinearOpIterator endIter = layout.end();
for (FdmLinearOpIterator iter = layout.begin(); iter != endIter;
++iter)
{
if (iter.coordinates()[0] == 0 ||
iter.coordinates()[0] == layout.dim()[0] - 1)
{
varianceValues_[iter.index()] = 0.0;
}
}
volatilityValues_ = Vector.Sqrt(2 * varianceValues_);
}
public FdmHestonVariancePart(
FdmMesher mesher,
YieldTermStructure rTS,
double sigma, double kappa, double theta)
{
dyMap_ = new SecondDerivativeOp(1, mesher)
.mult(0.5 * sigma * sigma * mesher.locations(1))
.add(new FirstDerivativeOp(1, mesher)
.mult(kappa * (theta - mesher.locations(1))));
mapT_ = new TripleBandLinearOp(1, mesher);
rTS_ = rTS;
}
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 FdmHestonOp(FdmMesher mesher,
HestonProcess hestonProcess,
FdmQuantoHelper quantoHelper = null,
LocalVolTermStructure leverageFct = null)
{
correlationMap_ = new SecondOrderMixedDerivativeOp(0, 1, mesher)
.mult(hestonProcess.rho() * hestonProcess.sigma()
* mesher.locations(1));
dyMap_ = new FdmHestonVariancePart(mesher,
hestonProcess.riskFreeRate().currentLink(),
hestonProcess.sigma(),
hestonProcess.kappa(),
hestonProcess.theta());
dxMap_ = new FdmHestonEquityPart(mesher,
hestonProcess.riskFreeRate().currentLink(),
hestonProcess.dividendYield().currentLink(),
quantoHelper,
leverageFct);
}
public FdmBlackScholesOp(FdmMesher mesher,
GeneralizedBlackScholesProcess bsProcess,
double strike,
bool localVol = false,
double?illegalLocalVolOverwrite = null,
int direction = 0,
FdmQuantoHelper quantoHelper = null)
{
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;
quantoHelper_ = quantoHelper;
}
