fdeuropeanengine.cpp

来自「有很多的函数库」· C++ 代码 · 共 53 行

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

/*
 Copyright (C) 2005 Joseph Wang
 Copyright (C) 2007 StatPro Italia srl

 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
 <[e-mail]>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 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/methods/finitedifferences/fdtypedefs.hpp>

namespace QuantLib {

    void FDEuropeanEngine::calculate() const {
        setupArguments(&arguments_);
        setGridLimits();
        initializeInitialCondition();
        initializeOperator();
        initializeBoundaryConditions();

        StandardFiniteDifferenceModel model(finiteDifferenceOperator_, BCs_);

        prices_ = intrinsicValues_;

        model.rollback(prices_.values(), getResidualTime(),
                       0, timeSteps_);

        results_.value = prices_.valueAtCenter();
        results_.delta = prices_.firstDerivativeAtCenter();
        results_.gamma = prices_.secondDerivativeAtCenter();
        results_.theta = blackScholesTheta(process_,
                                           results_.value,
                                           results_.delta,
                                           results_.gamma);
        results_.additionalResults["priceCurve"] = prices_;
    }

}