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 void axpyb(Vector a, TripleBandLinearOp x, TripleBandLinearOp y, Vector b)
{
int size = mesher_.layout().size();
if (a.empty())
{
if (b.empty())
{
//#pragma omp parallel for
for (int i = 0; i < size; ++i)
{
diag_[i] = y.diag_[i];
lower_[i] = y.lower_[i];
upper_[i] = y.upper_[i];
}
}
else
{
int binc = (b.size() > 1) ? 1 : 0;
//#pragma omp parallel for
for (int i = 0; i < size; ++i)
{
diag_[i] = y.diag_[i] + b[i * binc];
lower_[i] = y.lower_[i];
upper_[i] = y.upper_[i];
}
}
}
else if (b.empty())
{
int ainc = (a.size() > 1) ? 1 : 0;
//#pragma omp parallel for
for (int i = 0; i < size; ++i)
{
double s = a[i * ainc];
diag_[i] = y.diag_[i] + s * x.diag_[i];
lower_[i] = y.lower_[i] + s * x.lower_[i];
upper_[i] = y.upper_[i] + s * x.upper_[i];
}
}
else
{
int binc = (b.size() > 1) ? 1 : 0;
int ainc = (a.size() > 1) ? 1 : 0;
//#pragma omp parallel for
for (int i = 0; i < size; ++i)
{
double s = a[i * ainc];
diag_[i] = y.diag_[i] + s * x.diag_[i] + b[i * binc];
lower_[i] = y.lower_[i] + s * x.lower_[i];
upper_[i] = y.upper_[i] + s * x.upper_[i];
}
}
}
public void swap(TripleBandLinearOp m)
{
Utils.swap(ref mesher_, ref m.mesher_);
Utils.swap(ref direction_, ref m.direction_);
Utils.swap(ref i0_, ref m.i0_);
Utils.swap(ref i2_, ref m.i2_);
Utils.swap(ref reverseIndex_, ref m.reverseIndex_);
Utils.swap(ref lower_, ref m.lower_);
Utils.swap(ref diag_, ref m.diag_);
Utils.swap(ref upper_, ref m.upper_);
}
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 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 TripleBandLinearOp add
(TripleBandLinearOp m)
{
TripleBandLinearOp retVal = new TripleBandLinearOp(direction_, mesher_);
int size = mesher_.layout().size();
//#pragma omp parallel for
for (int i = 0; i < size; ++i)
{
retVal.lower_[i] = lower_[i] + m.lower_[i];
retVal.diag_[i] = diag_[i] + m.diag_[i];
retVal.upper_[i] = upper_[i] + m.upper_[i];
}
return(retVal);
}
public TripleBandLinearOp mult(Vector u)
{
TripleBandLinearOp retVal = new TripleBandLinearOp(direction_, mesher_);
int size = mesher_.layout().size();
//#pragma omp parallel for
for (int i = 0; i < size; ++i)
{
double s = u[i];
retVal.lower_[i] = lower_[i] * s;
retVal.diag_[i] = diag_[i] * s;
retVal.upper_[i] = upper_[i] * s;
}
return(retVal);
}
public TripleBandLinearOp(TripleBandLinearOp m)
{
direction_ = m.direction_;
i0_ = new InitializedList <int>(m.mesher_.layout().size());
i2_ = new InitializedList <int>(m.mesher_.layout().size());
reverseIndex_ = new InitializedList <int>(m.mesher_.layout().size());
lower_ = new InitializedList <double>(m.mesher_.layout().size());
diag_ = new InitializedList <double>(m.mesher_.layout().size());
upper_ = new InitializedList <double>(m.mesher_.layout().size());
mesher_ = m.mesher_;
int len = m.mesher_.layout().size();
m.i0_.copy(0, len, 0, i0_);
m.i2_.copy(0, len, 0, i2_);
m.reverseIndex_.copy(0, len, 0, reverseIndex_);
m.lower_.copy(0, len, 0, lower_);
m.diag_.copy(0, len, 0, diag_);
m.upper_.copy(0, len, 0, upper_);
}
public TripleBandLinearOp multR(Vector u)
{
FdmLinearOpLayout layout = mesher_.layout();
int size = layout.size();
Utils.QL_REQUIRE(u.size() == size, () => "inconsistent size of rhs");
TripleBandLinearOp retVal = new TripleBandLinearOp(direction_, mesher_);
for (int i = 0; i < size; ++i)
{
double sm1 = i > 0 ? u[i - 1] : 1.0;
double s0 = u[i];
double sp1 = i < size - 1 ? u[i + 1] : 1.0;
retVal.lower_[i] = lower_[i] * sm1;
retVal.diag_[i] = diag_[i] * s0;
retVal.upper_[i] = upper_[i] * sp1;
}
return(retVal);
}
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;
}