int main()
{
// DON'T FORGET TO MODIFY EXCELIMPORTS.CPP for correct version of Excel.
long N = 40;
// Create abscissa x array
Vector<double, long> x(N,0.0);
double T = 10.0;
double h = T/double(N);
x[x.MinIndex()] = 0.0;
x[x.MaxIndex()] = T;
for (long j = x.MinIndex()+1; j <= x.MaxIndex()-1; ++j)
{
x[j] = x[j-1] + h;
}
Vector<double, long> vec1(N,0.0);
for (long j = vec1.MinIndex(); j <= vec1.MaxIndex(); ++j)
{
vec1[j] = pow(-1.0, j);
}
std::cout << "Data has been created\n";
try
{
printOneExcel(x,vec1, std::string("1 array"), std::string("Time"), std::string("Value"));
}
catch(DatasimException& e)
{
e.print();
}
try
{
printOneExcel(x,vec1); // Default annotation settings
}
catch(DatasimException& e)
{
e.print();
}
return 0;
}
void displayinExcel( OptionValueType yval)
{
string text("Value");
if (yval == Delta)
{
text = string("Delta");
}
if (yval == Gamma)
{
text = string("Gamma");
}
if (yval == Vega)
{
text = string("Vega");
}
if (yval == Theta)
{
text = string("Theta");
}
if (yval == Rho)
{
text = string("Rho");
}
if (yval == Coc)
{
text = string("Coc");
}
Vector<double, long> yarr = calculate(yval);
// cout << "array ..."; int yy; cin >> yy;
// print(yarr);
printOneExcel(XARR, yarr, text);
}
int main()
{
// Set all ranges
Range<double> X(Xfrom,Xto);
Range<double> T(Yfrom,Yto);
// Declare all TwoVarDFunctions
TwoVarDFunction<double,double,double> Sigma(*sigma);
TwoVarDFunction<double,double,double> Mu(*mu);
TwoVarDFunction<double,double,double> Forcing(*forcing);
TwoVarDFunction<double,double,double> B(*b);
// Declare all AtomicDFunctions
AtomicDFunction<double,double> Ic(*IC); // Change from Call<->Put
// AtomicDFunction<double,double> Bcr(*BCR_Topper_p11);
AtomicDFunction<double,double> Bcr(*BCR);// Change from Call<->Put
AtomicDFunction<double,double> Bcl(*BCL);// Change from Call<->Put
// Declare the pde
ParabolicPDE<double,double,double> pde(X,T,Sigma,Mu,B,Forcing,Ic,Bcl,Bcr);
// Declare the finite difference scheme
// ParabolicFDM<double,double,double> FDM(pde,XINTERVALS,YINTERVALS,THETA); // V1
int choice = 3;
cout << "1) Explicit Euler 2) Implicit Euler 3) Crank Nicolson ";
cin >> choice;
//OptionType type = AmericanCallType;
OptionType type = EuropeanCallType;
ParabolicFDM<double,double,double> FDM(pde,XINTERVALS,YINTERVALS,choice,
type);
// compute option prices
FDM.start();
// Retrieve and store option prices
Vector <double,long> result = FDM.line(); // Does include ENDS!!
///////////////////////////////////////////////////////////
Vector<double, long> xArr = FDM.xarr();
Vector<double, long> tArr = FDM.tarr();
double h = xArr[2] - xArr[1];
double k = tArr[2] - tArr[1];
cout << "h " << h << endl;
// Create and fill Delta vector
Vector <double,long> DeltaMesh(xArr.Size()-2, xArr.MinIndex());
for (long kk = DeltaMesh.MinIndex(); kk <= DeltaMesh.MaxIndex(); kk++)
{
DeltaMesh[kk] = xArr[kk+1];
}
Vector <double,long> Delta(result.Size()-2,result.MinIndex());
for (long i = Delta.MinIndex(); i <= Delta.MaxIndex(); i++)
{
Delta[i] = (result[i+1] - result[i])/(h);
}
print(result);
print(Delta);
// Create and fill Gamma vector
Vector <double,long> GammaMesh(DeltaMesh.Size()-2, DeltaMesh.MinIndex());
for (long p = GammaMesh.MinIndex(); p <= GammaMesh.MaxIndex(); p++)
{
GammaMesh[p] = DeltaMesh[p+1];
}
Vector <double,long> Gamma(Delta.Size()-2, Delta.MinIndex());
for (long n = Gamma.MinIndex(); n <= Gamma.MaxIndex(); n++)
{
Gamma[n] = (Delta[n+1] - Delta[n])/(h);
}
/*// Create and fill Theta vector
Vector <double,long> ThetaMesh(tArr.Size()-1, tArr.MinIndex());
for (long m = ThetaMesh.MinIndex(); m <= ThetaMesh.MaxIndex(); m++)
{
ThetaMesh[m] = tArr[m+1];
}*/
long NP1 = FDM.result().MaxRowIndex();
long NP = FDM.result().MaxRowIndex() -1;
Vector <double,long> Theta(result.Size(), result.MinIndex());
for (long ii = Theta.MinIndex(); ii <= Theta.MaxIndex(); ii++)
{
Theta[ii] = -(FDM.result()(NP1, ii) -FDM.result()(NP, ii) )/k;
}
try
{
printOneExcel(FDM.xarr(), result, string("Price"));
printOneExcel(DeltaMesh, Delta, string("Delta"));
printOneExcel(GammaMesh, Gamma, string("Gamma"));
printOneExcel(FDM.xarr(), Theta, string("Theta"));
}
catch(DatasimException& e)
{
e.print();
ExcelDriver& excel = ExcelDriver::Instance();
excel.MakeVisible(true);
long y = 1;
excel.printStringInExcel(e.Message(), y, y, string("Err"));
list<string> dump;
dump.push_back(e.MessageDump()[0]);
dump.push_back(e.MessageDump()[1]);
dump.push_back(e.MessageDump()[2]);
excel.printStringInExcel(dump, 1, 1, string("Err"));
return 0;
}
return 0;
}
