Пример #1
0
 public FirstDerivativeOp(FirstDerivativeOp rhs)
     : base(rhs.direction_, rhs.mesher_)
 {
     lower_ = rhs.lower_;
     diag_  = rhs.diag_;
     upper_ = rhs.upper_;
 }
Пример #2
0
        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_);
        }
Пример #3
0
 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;
 }