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Changeset 162

Timestamp:

05/10/08 13:14:58 (2 months ago)

Author:

snovik

Message:

Fix: Ready to run first finite differences american option calculation

Files:

r158	r162
135	135	//bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
136	136	// new FDBermudanEngine(bsmProcess,timeSteps,timeSteps-1)));
137		//americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess,timeSteps,timeSteps-1));
	137	americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess,timeSteps,timeSteps-1));
138	138
139	139	Console.Write("{0,-" + widths[0] + "}", method);

r160	r162
32	32	public class FDAmericanEngine : FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>, OneAssetOption.Engine,
33	33	OneAssetOption.Arguments, OneAssetOption.Results> {
	34	public FDAmericanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints)
	35	: this(process, timeSteps, gridPoints, false) { }
34	36	public FDAmericanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints, bool timeDependent)
35	37	: base(process, timeSteps, gridPoints, timeDependent) { }

r161	r162
29	29	protected FiniteDifferenceModel<CrankNicolson<TridiagonalOperator>> model_;
30	30
31		public FDMultiPeriodEngine() { } // required for generics
	31	// required for generics
	32	public FDMultiPeriodEngine() { }
32	33
33	34	//protected FDMultiPeriodEngine(GeneralizedBlackScholesProcess process,

r161	r162
31	31	// required for generics
32	32	public FDStepConditionEngine() { }
	33	// required for template inheritance
	34	public override FDVanillaEngine factory(GeneralizedBlackScholesProcess process,
	35	int timeSteps, int gridPoints, bool timeDependent) {
	36	return new FDStepConditionEngine(process, timeSteps, gridPoints, timeDependent);
	37	}
33	38
34	39	//public FDStepConditionEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints,

r161	r162
49	49	// required for generics and template iheritance
50	50	public FDVanillaEngine() { }
	51	// this should be overridden in each deriving class using template iheritance in order to return a proper class to wrap
51	52	public virtual FDVanillaEngine factory(GeneralizedBlackScholesProcess process,
52	53	int timeSteps, int gridPoints, bool timeDependent) {
…	…
152	153
153	154
154		public class FDEngineAdapter<Base, Engine, ArgumentsType, ResultsType> : FDVanillaEngine
	155	public class FDEngineAdapter<Base, Engine, ArgumentsType, ResultsType>
	156	: FDVanillaEngine, IGenericEngine<ArgumentsType, ResultsType>
155	157	where Base : FDVanillaEngine, new()
156	158	where Engine : IGenericEngine<ArgumentsType, ResultsType>
…	…
167	169	}
168	170
169		p~~rotected~~ void calculate() {
	171	public void calculate() {
170	172	optionBase.setupArguments(arguments_);
171	173	optionBase.calculate(results_);

r160	r162
25	25	//! Abstract base class for dividend engines
26	26	/*! \todo The dividend class really needs to be made more
27		sophisticated to distinguish between fixed dividends and
28		fractional dividends
	27	sophisticated to distinguish between fixed dividends and fractional dividends
29	28	*/
30	29	public abstract class FDDividendEngineBase : FDMultiPeriodEngine {