void JacobianOnD(Mat J, Vec F, unsigned int i, int* pt, myCSField sf){
if (i < sf->d){
for (pt[i]=1;pt[i]<=sf->mesh[i];pt[i]++)
JacobianOnD(J, F, i+1, pt, sf);
return;
}
int r = linIdx_Sys(sf->d, sf->mesh, pt,0,0);
unsigned int j;
// a' u' + a u'' = F
for (j=0;j<sf->d;j++){
double ldx = dx(j, sf);
double dx2 = ldx*ldx;
double ap = Coeff(pt,j,+ldx/2., sf);
double am = Coeff(pt,j,-ldx/2., sf);
// Our operators are isotropic
if (pt[j] > 1){
int c = linIdx_Sys(sf->d, sf->mesh, pt, j, -1);
MatSetValue(J, r, c, am/dx2, ADD_VALUES);
}
MatSetValue(J, r, r, -(am+ap)/dx2, ADD_VALUES);
if (pt[j] < sf->mesh[j]){
int c = linIdx_Sys(sf->d, sf->mesh, pt, j, 1);
MatSetValue(J, r, c, ap/dx2, ADD_VALUES);
}
}
double forcing = Forcing(pt, sf);
VecSetValue(F, r, -forcing, INSERT_VALUES);
}
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;
}
