| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2009 Klaus Spanderen |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file fdmblackscholesmultistrikemesher.hpp |
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| 21 | \brief 1-d mesher for the Black-Scholes process (in ln(S)) |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_fdm_black_scholes_multi_strike_mesher_hpp |
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| 25 | #define quantlib_fdm_black_scholes_multi_strike_mesher_hpp |
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| 26 | |
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| 27 | #include <ql/instruments/dividendschedule.hpp> |
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| 28 | #include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp> |
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| 29 | #include <ql/handle.hpp> |
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| 30 | #include <ql/quote.hpp> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | class YieldTermStructure; |
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| 35 | class GeneralizedBlackScholesProcess; |
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| 36 | |
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| 37 | class FdmBlackScholesMultiStrikeMesher : public Fdm1dMesher { |
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| 38 | public: |
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| 39 | FdmBlackScholesMultiStrikeMesher( |
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| 40 | Size size, |
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| 41 | const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, |
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| 42 | Time maturity, const std::vector<Real>& strikes, |
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| 43 | Real eps = 0.0001, |
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| 44 | Real scaleFactor = 1.5, |
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| 45 | const std::pair<Real, Real>& cPoint |
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| 46 | = (std::pair<Real, Real>(Null<Real>(), Null<Real>()))); |
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| 47 | }; |
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| 48 | } |
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| 49 | #endif |
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| 50 | |
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