-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathpde.h
106 lines (90 loc) · 3.45 KB
/
pde.h
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
// PDE_bs.h
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
#ifndef __PDE_H
#define __PDE_H
#include "payoff.h"
class PseudoFactory;
// Convection Diffusion Equation - Second-order PDE
class ConvectionDiffusionPDE {
public:
// PDE Coefficients
virtual double diff_coeff(double Gamma, double x) const = 0; // diffusion coefficent
virtual double conv_coeff(double Gamma, double x) const = 0; // convection coefficent
virtual double zero_coeff(double t, double x) const = 0; // zero coefficent
virtual double source_coeff(double t, double x) const = 0; // source term coefficent
// Boundary and initial conditions
virtual double boundary_left(double t, double x) const = 0;
virtual double boundary_right(double t, double x) const = 0;
virtual double init_cond(double x) const = 0;
virtual double Constraint(double x) const = 0;
virtual double claculate_Diffusion_equation(double U,double x, double t) const = 0;
};
// Black-Scholes PDE
class BlackScholesPDE : public ConvectionDiffusionPDE {
public:
PayOff* pay_off;
BlackScholesPDE(PseudoFactory & fac);
double diff_coeff(double Gamma, double x) const;
double conv_coeff(double Gamma, double x) const;
double zero_coeff(double t, double x) const;
double source_coeff(double t, double x) const;
double boundary_left(double t, double x) const;
double boundary_right(double t, double x) const;
double init_cond(double x) const;
double Constraint(double x) const;
double claculate_Diffusion_equation(double U,double x, double t) const;
private:
double r_;
double K_;
double T_;
double sigma_1;
double sigma_;
double a_;
};
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
// heatequation
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
class heatequation : public ConvectionDiffusionPDE {
public:
PayOff* pay_off;
heatequation(PseudoFactory & fac);
double diff_coeff(double Gamma, double x) const;
double conv_coeff(double Gamma, double x) const;
double zero_coeff(double t, double x) const;
double source_coeff(double t, double x) const;
double boundary_left(double t, double x) const;
double boundary_right(double t, double x) const;
double init_cond(double x) const;
double Constraint(double x) const;
double claculate_Diffusion_equation(double U,double x, double t) const;
private:
double r_;
double K_;
double T_;
double sigma_1;
};
class UVMPde : public ConvectionDiffusionPDE {
public:
PayOff* pay_off;
UVMPde (PseudoFactory & fac);
double diff_coeff(double Gamma, double x) const;
double conv_coeff(double Gamma, double x) const;
double zero_coeff(double t, double x) const;
double source_coeff(double t, double x) const;
double boundary_left(double t, double x) const;
double boundary_right(double t, double x) const;
double init_cond(double x) const;
double Constraint(double x) const;
double claculate_Diffusion_equation(double U,double x, double t) const;
private:
double v_min_;
double v_max_;
double r_;
double K_;
double T_;
double sigma_1;
double a_;
//double vol;
};
#endif