pdebsm.hpp

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/* -*- 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/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.
*/
 
/*! \file pdebsm.hpp
    \brief Black-Scholes-Merton PDE
*/
 
#ifndef quantlib_pdebsm_hpp
#define quantlib_pdebsm_hpp
 
#include <ql/methods/finitedifferences/pde.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
 
namespace QuantLib {
 
    QL_DEPRECATED_DISABLE_WARNING
 
    /*! \deprecated Part of the old FD framework; copy this function
                    in your codebase if needed.
                    Deprecated in version 1.37.
    */
    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeBSM : public PdeSecondOrderParabolic {
      public:
        typedef ext::shared_ptr<GeneralizedBlackScholesProcess> argument_type;
        typedef LogGrid grid_type;
        PdeBSM(argument_type process) : process_(std::move(process)){};
        Real diffusion(Time t, Real x) const override { return process_->diffusion(t, x); }
        Real drift(Time t, Real x) const override { return process_->drift(t, x); }
        Real discount(Time t, Real) const override {
            if (std::fabs(t) < 1e-8) t = 0;
            return process_->riskFreeRate()->
                forwardRate(t,t,Continuous,NoFrequency,true);
        }
 
    private:
        const argument_type process_;
    };
 
    QL_DEPRECATED_ENABLE_WARNING
 
}
 
 
#endif