public BSMOperator(Vector grid, GeneralizedBlackScholesProcess process, double residualTime) : base(grid.size())
{
LogGrid logGrid = new LogGrid(grid);
var cc = new PdeConstantCoeff <PdeBSM>(process, residualTime, process.stateVariable().link.value());
cc.generateOperator(residualTime, logGrid, this);
}
//! 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);
}
