19787828006

Committed 29 Nov 2025 06:42PM UTC coverage: 74.352% (+0.4%) from 73.914%

Build # 19787828006

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Pull #2344

github

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web-flow

Commit Message

Merge e103123e2 into 08ef06893

Pull Request Pull Request #2344: add multicurve bootstrap

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90.91

/ql/methods/finitedifferences/operators/fdmbatesop.cpp

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

/*
 Copyright (C) 2010 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
 <https://www.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 fdmbatesop.cpp
    \brief Bates linear operator
*/

#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/matrix.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
#include <ql/processes/batesprocess.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
#include <utility>

namespace QuantLib {

    FdmBatesOp::FdmBatesOp(const ext::shared_ptr<FdmMesher>& mesher,
                           const ext::shared_ptr<BatesProcess>& batesProcess,
                           FdmBoundaryConditionSet bcSet,
                           const Size integroIntegrationOrder,
                           const ext::shared_ptr<FdmQuantoHelper>& quantoHelper)
    : lambda_(batesProcess->lambda()), delta_(batesProcess->delta()), nu_(batesProcess->nu()),
      m_(std::exp(nu_ + 0.5 * delta_ * delta_) - 1.0),
      gaussHermiteIntegration_(integroIntegrationOrder), mesher_(mesher), bcSet_(std::move(bcSet)),
      hestonOp_(new FdmHestonOp(
          mesher,
          ext::make_shared<HestonProcess>(
              batesProcess->riskFreeRate(),
              Handle<YieldTermStructure>(ext::make_shared<ZeroSpreadedTermStructure>(
                  batesProcess->dividendYield(),
                  Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(lambda_ * m_))),
                  Continuous)),
              batesProcess->s0(),
              batesProcess->v0(),
              batesProcess->kappa(),
              batesProcess->theta(),
              batesProcess->sigma(),
              batesProcess->rho()),
          quantoHelper)) {}

    FdmBatesOp::IntegroIntegrand::IntegroIntegrand(
                    const ext::shared_ptr<LinearInterpolation>& interpl,
                    const FdmBoundaryConditionSet& bcSet,
                    Real x, Real delta, Real nu)
    : x_(x), delta_(delta), nu_(nu), 
      bcSet_(bcSet), interpl_(interpl) { }
                    
    Real FdmBatesOp::IntegroIntegrand::operator()(Real y) const {
        const Real x = x_ + M_SQRT2*delta_*y + nu_;
        Real valueOfDerivative = (*interpl_)(x, true);

        for (auto iter = bcSet_.begin(); iter < bcSet_.end(); ++iter) {

            const ext::shared_ptr<FdmDirichletBoundary> dirichlet
                = ext::dynamic_pointer_cast<FdmDirichletBoundary>(*iter);

            QL_REQUIRE(dirichlet, "FdmBatesOp can only deal with Dirichlet "
                                  "boundary conditions.");

            valueOfDerivative
                = dirichlet->applyAfterApplying(x, valueOfDerivative);
        }

        return std::exp(-y*y)*valueOfDerivative;
    }
    
    Array FdmBatesOp::integro(const Array& r) const {
        QL_REQUIRE(mesher_->layout()->dim().size() == 2, "invalid layout dimension");

        Array x(mesher_->layout()->dim()[0]);
        Matrix f(mesher_->layout()->dim()[1], mesher_->layout()->dim()[0]);
        
        for (const auto& iter : *mesher_->layout()) {
            const Size i = iter.coordinates()[0];
            const Size j = iter.coordinates()[1];
            
            x[i]    = mesher_->location(iter, 0);
            f[j][i] = r[iter.index()];
            
        }
        std::vector<ext::shared_ptr<LinearInterpolation> > interpl(f.rows());
        for (Size i=0; i < f.rows(); ++i) {
            interpl[i] = ext::make_shared<LinearInterpolation>(
                x.begin(), x.end(), f.row_begin(i));
        }
        
        Array integral(r.size());
        for (const auto& iter : *mesher_->layout()) {
            const Size i = iter.coordinates()[0];
            const Size j = iter.coordinates()[1];

            integral[iter.index()] = M_1_SQRTPI* 
                gaussHermiteIntegration_(
                      IntegroIntegrand(interpl[j], bcSet_, x[i], delta_, nu_));
        }

        return lambda_*(integral-r);
    }

    std::vector<SparseMatrix> FdmBatesOp::toMatrixDecomp() const {
        QL_FAIL("not implemented");
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2010 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	<https://www.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 fdmbatesop.cpp
21	\brief Bates linear operator
22	*/
23
24	#include <ql/math/interpolations/linearinterpolation.hpp>
25	#include <ql/math/matrix.hpp>
26	#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
27	#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>
28	#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
29	#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
30	#include <ql/processes/batesprocess.hpp>
31	#include <ql/quotes/simplequote.hpp>
32	#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
33	#include <utility>
34
35	namespace QuantLib {
36
37	FdmBatesOp::FdmBatesOp(const ext::shared_ptr<FdmMesher>& mesher,	4✔
38	const ext::shared_ptr<BatesProcess>& batesProcess,
39	FdmBoundaryConditionSet bcSet,
40	const Size integroIntegrationOrder,
41	const ext::shared_ptr<FdmQuantoHelper>& quantoHelper)	4✔
42	: lambda_(batesProcess->lambda()), delta_(batesProcess->delta()), nu_(batesProcess->nu()),	4✔
43	m_(std::exp(nu_ + 0.5 * delta_ * delta_) - 1.0),	4✔
44	gaussHermiteIntegration_(integroIntegrationOrder), mesher_(mesher), bcSet_(std::move(bcSet)),	8✔
45	hestonOp_(new FdmHestonOp(	8✔
46	mesher,
47	ext::make_shared<HestonProcess>(	12✔
48	batesProcess->riskFreeRate(),	4✔
49	Handle<YieldTermStructure>(ext::make_shared<ZeroSpreadedTermStructure>(	8✔
50	batesProcess->dividendYield(),	4✔
51	Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(lambda_ * m_))),	8✔
52	Continuous)),	4✔
53	batesProcess->s0(),	4✔
54	batesProcess->v0(),	4✔
55	batesProcess->kappa(),	4✔
56	batesProcess->theta(),	4✔
57	batesProcess->sigma(),	4✔
58	batesProcess->rho()),	4✔
59	quantoHelper)) {}	12✔
60
61	FdmBatesOp::IntegroIntegrand::IntegroIntegrand(	1,224,000✔
62	const ext::shared_ptr<LinearInterpolation>& interpl,
63	const FdmBoundaryConditionSet& bcSet,
64	Real x, Real delta, Real nu)	1,224,000✔
65	: x_(x), delta_(delta), nu_(nu),	1,224,000✔
66	bcSet_(bcSet), interpl_(interpl) { }	1,224,000✔
67
68	Real FdmBatesOp::IntegroIntegrand::operator()(Real y) const {	14,688,000✔
69	const Real x = x_ + M_SQRT2delta_y + nu_;	14,688,000✔
70	Real valueOfDerivative = (*interpl_)(x, true);	14,688,000✔
71
72	for (auto iter = bcSet_.begin(); iter < bcSet_.end(); ++iter) {	14,688,000✔
73
74	const ext::shared_ptr<FdmDirichletBoundary> dirichlet
UNCOV 75	= ext::dynamic_pointer_cast<FdmDirichletBoundary>(*iter);	×
76
77	QL_REQUIRE(dirichlet, "FdmBatesOp can only deal with Dirichlet "	×
78	"boundary conditions.");
79
80	valueOfDerivative
UNCOV 81	= dirichlet->applyAfterApplying(x, valueOfDerivative);	×
82	}
83
84	return std::exp(-yy)valueOfDerivative;	14,688,000✔
85	}
86
87	Array FdmBatesOp::integro(const Array& r) const {	408✔
88	QL_REQUIRE(mesher_->layout()->dim().size() == 2, "invalid layout dimension");	408✔
89
90	Array x(mesher_->layout()->dim()[0]);	408✔
91	Matrix f(mesher_->layout()->dim()[1], mesher_->layout()->dim()[0]);	408✔
92
93	for (const auto& iter : *mesher_->layout()) {	1,224,816✔
94	const Size i = iter.coordinates()[0];	1,224,000✔
95	const Size j = iter.coordinates()[1];	1,224,000✔
96
97	x[i] = mesher_->location(iter, 0);	1,224,000✔
98	f[j][i] = r[iter.index()];	1,224,000✔
99
100	}
101	std::vector<ext::shared_ptr<LinearInterpolation> > interpl(f.rows());	408✔
102	for (Size i=0; i < f.rows(); ++i) {	12,648✔
103	interpl[i] = ext::make_shared<LinearInterpolation>(	12,240✔
104	x.begin(), x.end(), f.row_begin(i));	24,480✔
105	}
106
107	Array integral(r.size());	408✔
108	for (const auto& iter : *mesher_->layout()) {	1,224,816✔
109	const Size i = iter.coordinates()[0];	1,224,000✔
110	const Size j = iter.coordinates()[1];	1,224,000✔
111
112	integral[iter.index()] = M_1_SQRTPI*	1,224,000✔
113	gaussHermiteIntegration_(	1,224,000✔
114	IntegroIntegrand(interpl[j], bcSet_, x[i], delta_, nu_));	2,448,000✔
115	}
116
117	return lambda_*(integral-r);	1,224✔
118	}	408✔
119
UNCOV 120	std::vector<SparseMatrix> FdmBatesOp::toMatrixDecomp() const {	×
UNCOV 121	QL_FAIL("not implemented");	×
122	}
123
124	}

lballabio / QuantLib / 19787828006

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