1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmg2solver.cpp
21*/
22
23#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
24#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>
25#include <ql/methods/finitedifferences/solvers/fdmg2solver.hpp>
26#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
27#include <ql/models/shortrate/twofactormodels/g2.hpp>
28#include <utility>
29
30namespace QuantLib {
31
32 FdmG2Solver::FdmG2Solver(Handle<G2> model,
33 FdmSolverDesc solverDesc,
34 const FdmSchemeDesc& schemeDesc)
35 : model_(std::move(model)), solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc) {
36 registerWith(h: model_);
37 }
38
39
40 void FdmG2Solver::performCalculations() const {
41 const ext::shared_ptr<FdmG2Op> op(
42 new FdmG2Op(solverDesc_.mesher, model_.currentLink(), 0, 1));
43
44 solver_ = ext::make_shared<Fdm2DimSolver>(
45 args: solverDesc_, args: schemeDesc_, args: op);
46 }
47
48 Real FdmG2Solver::valueAt(Real x, Real y) const {
49 calculate();
50 return solver_->interpolateAt(x, y);
51 }
52}
53

source code of quantlib/ql/methods/finitedifferences/solvers/fdmg2solver.cpp