fdndimblackscholesvanillaengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2024 Klaus Spanderen
 
 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 fdndimblackscholesvanillaengine.hpp
    \brief Finite-Differences n-dimensional Black-Scholes vanilla option engine
*/
 
#ifndef quantlib_fd_ndim_black_scholes_vanilla_engine_hpp
#define quantlib_fd_ndim_black_scholes_vanilla_engine_hpp
 
#include <ql/math/matrix.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
namespace QuantLib {
 
    class GeneralizedBlackScholesProcess;
 
    //! n-dimensional finite-differences Black Scholes vanilla option engine
 
    /*! \ingroup basketengines
 
        \test the correctness of the returned value is tested by
              reproducing results available in web/literature
              and comparison with the PyFENG python package.
    */
    class FdndimBlackScholesVanillaEngine : public BasketOption::engine {
      public:
        FdndimBlackScholesVanillaEngine(
            std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > processes,
            Matrix rho,
            std::vector<Size> xGrids,
            Size tGrid = 50, Size dampingSteps = 0,
            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
 
 
        // Auto-scaling of grids, largest eigenvalue gets xGrid size.
        FdndimBlackScholesVanillaEngine(
            std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > processes,
            Matrix rho,
            Size xGrid, Size tGrid = 50, Size dampingSteps = 0,
            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
 
        void calculate() const override;
 
      private:
        const std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > processes_;
        const Matrix rho_;
        const std::vector<Size> xGrids_;
        const Size tGrid_, dampingSteps_;
        const FdmSchemeDesc schemeDesc_;
    };
}
 
#endif