void Fdm2DimSolver::performCalculations() const {
Array rhs(initialValues_.size());
std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
.rollback(rhs, solverDesc_.maturity, 0.0,
solverDesc_.timeSteps, solverDesc_.dampingSteps);
std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
interpolation_ = boost::shared_ptr<BicubicSpline> (
new BicubicSpline(x_.begin(), x_.end(),
y_.begin(), y_.end(),
resultValues_));
}
void Fdm3DimSolver::performCalculations() const {
Array rhs(initialValues_.size());
std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
.rollback(rhs, solverDesc_.maturity, 0.0,
solverDesc_.timeSteps, solverDesc_.dampingSteps);
for (Size i=0; i < z_.size(); ++i) {
std::copy(rhs.begin()+i *y_.size()*x_.size(),
rhs.begin()+(i+1)*y_.size()*x_.size(),
resultValues_[i].begin());
interpolation_[i] = boost::make_shared<BicubicSpline>(x_.begin(), x_.end(),
y_.begin(), y_.end(),
resultValues_[i]);
}
}
void FdmHestonSolver::performCalculations() const {
boost::shared_ptr<FdmHestonOp> map(
new FdmHestonOp(
mesher_, process_.currentLink(),
(!quantoHelper_.empty()) ? quantoHelper_.currentLink()
: boost::shared_ptr<FdmQuantoHelper>()));
Array rhs(initialValues_.size());
std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
FdmBackwardSolver(map, bcSet_, condition_, schemeType_, theta_, mu_)
.rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
std::copy(rhs.begin(), rhs.end(), resultValues_.begin());
interpolation_ = boost::shared_ptr<BicubicSpline> (
new BicubicSpline(x_.begin(), x_.end(),
v_.begin(), v_.end(),
resultValues_));
}
template <Size N> inline
void FdmNdimSolver<N>::performCalculations() const {
Array rhs(initialValues_.size());
std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
.rollback(rhs, solverDesc_.maturity, 0.0,
solverDesc_.timeSteps, solverDesc_.dampingSteps);
const boost::shared_ptr<FdmLinearOpLayout> layout
= solverDesc_.mesher->layout();
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
setValue(*f_, iter.coordinates(), rhs[iter.index()]);
}
interp_ = boost::shared_ptr<MultiCubicSpline<N> >(
new MultiCubicSpline<N>(x_, *f_, extrapolation_));
}
void FdmHestonHullWhiteSolver::performCalculations() const {
boost::shared_ptr<FdmLinearOpComposite> map(
new FdmHestonHullWhiteOp(mesher_,
hestonProcess_.currentLink(),
hwProcess_.currentLink(),
corrEquityShortRate_));
Array rhs(initialValues_.size());
std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());
FdmBackwardSolver(map, bcSet_, condition_, schemeType_, theta_, mu_)
.rollback(rhs, maturity_, 0.0, timeSteps_, dampingSteps_);
for (Size i=0; i < r_.size(); ++i) {
std::copy(rhs.begin()+i *v_.size()*x_.size(),
rhs.begin()+(i+1)*v_.size()*x_.size(),
resultValues_[i].begin());
interpolation_[i] = boost::shared_ptr<BicubicSpline> (
new BicubicSpline(x_.begin(), x_.end(),
v_.begin(), v_.end(),
resultValues_[i]));
}
}
