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fdeuropeanengine.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2005 Joseph Wang

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/reference/license.html>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/PricingEngines/Vanilla/fdeuropeanengine.hpp>
#include <ql/PricingEngines/greeks.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>
#include <ql/FiniteDifferences/valueatcenter.hpp>

namespace QuantLib {

    void FDEuropeanEngine::calculate() const {
        setGridLimits();
        initializeGrid();
        initializeInitialCondition();
        initializeOperator();

        StandardFiniteDifferenceModel model(finiteDifferenceOperator_, BCs_);

        euroPrices_ = intrinsicValues_;

        model.rollback(euroPrices_, getResidualTime(),
                       0, timeSteps_);

        results_.value = valueAtCenter(euroPrices_);
        results_.delta = firstDerivativeAtCenter(euroPrices_, grid_);
        results_.gamma = secondDerivativeAtCenter(euroPrices_, grid_);
        results_.theta = blackScholesTheta(arguments_.stochasticProcess,
                                           results_.value,
                                           results_.delta,
                                           results_.gamma);
    }

}


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