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Merge pull request #178 from tournierjc/FdmBermudanSwaptionHW
Fdm bermudan swaption hw
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74 changes: 74 additions & 0 deletions
74
src/QLNet/Methods/Finitedifferences/Meshers/FdmSimpleProcess1dMesher.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,74 @@ | ||
| /* | ||
| Copyright (C) 2017 Jean-Camille Tournier (jean-camille.tournier@avivainvestors.com) | ||
| This file is part of QLNet Project https://github.com/amaggiulli/qlnet | ||
| QLNet is free software: you can redistribute it and/or modify it | ||
| under the terms of the QLNet license. You should have received a | ||
| copy of the license along with this program; if not, license is | ||
| available online at <http://qlnet.sourceforge.net/License.html>. | ||
| QLNet is a based on QuantLib, a free-software/open-source library | ||
| for financial quantitative analysts and developers - http://quantlib.org/ | ||
| The QuantLib license is 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. | ||
| */ | ||
| using System; | ||
| using System.Collections.Generic; | ||
| using System.Linq; | ||
|
|
||
| namespace QLNet | ||
| { | ||
| /// <summary> | ||
| /// One-dimensional grid mesher | ||
| /// </summary> | ||
| public class FdmSimpleProcess1DMesher : Fdm1dMesher | ||
| { | ||
| public FdmSimpleProcess1DMesher(int size, | ||
| StochasticProcess1D process, | ||
| double maturity, int tAvgSteps = 10, | ||
| double epsilon = 0.0001, | ||
| double? mandatoryPoint = null) | ||
| : base(size) | ||
| { | ||
| locations_ = new InitializedList<double>(locations_.Count, 0.0); | ||
| for (int l=1; l<=tAvgSteps; ++l) | ||
| { | ||
| double t = (maturity*l)/tAvgSteps; | ||
|
|
||
| double mp = (mandatoryPoint != null) ? mandatoryPoint.Value | ||
| : process.x0(); | ||
|
|
||
| double qMin = Math.Min(Math.Min(mp, process.x0()), | ||
| process.evolve(0, process.x0(), t, | ||
| new InverseCumulativeNormal().value(epsilon))); | ||
| double qMax = Math.Max(Math.Max(mp, process.x0()), | ||
| process.evolve(0, process.x0(), t, | ||
| new InverseCumulativeNormal().value(1 - epsilon))); | ||
|
|
||
| double dp = (1 - 2 * epsilon) / (size - 1); | ||
| double p = epsilon; | ||
| locations_[0] += qMin; | ||
|
|
||
| for (int i=1; i < size-1; ++i) | ||
| { | ||
| p += dp; | ||
| locations_[i] += process.evolve(0, process.x0(), t, | ||
| new InverseCumulativeNormal().value(p)); | ||
| } | ||
| locations_[locations_.Count - 1] += qMax; | ||
| } | ||
| locations_ = locations_.Select(x => x / tAvgSteps).ToList(); | ||
| for (int i=0; i < size-1; ++i) | ||
| { | ||
| dminus_[i+1] = dplus_[i] = locations_[i+1] - locations_[i]; | ||
| } | ||
|
|
||
| dplus_[dplus_.Count - 1] = null; | ||
| dminus_[0] = null; | ||
| } | ||
| } | ||
| } |
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105
src/QLNet/Methods/Finitedifferences/Operators/FdmHullWhiteOp.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,105 @@ | ||
| /* | ||
| Copyright (C) 2017 Jean-Camille Tournier (jean-camille.tournier@avivainvestors.com) | ||
| This file is part of QLNet Project https://github.com/amaggiulli/qlnet | ||
| QLNet is free software: you can redistribute it and/or modify it | ||
| under the terms of the QLNet license. You should have received a | ||
| copy of the license along with this program; if not, license is | ||
| available online at <http://qlnet.sourceforge.net/License.html>. | ||
| QLNet is a based on QuantLib, a free-software/open-source library | ||
| for financial quantitative analysts and developers - http://quantlib.org/ | ||
| The QuantLib license is 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. | ||
| */ | ||
| using System; | ||
| using System.Collections.Generic; | ||
|
|
||
| namespace QLNet | ||
| { | ||
| public class FdmHullWhiteOp : FdmLinearOpComposite | ||
| { | ||
| public FdmHullWhiteOp(FdmMesher mesher, | ||
| HullWhite model, | ||
| int direction) | ||
| { | ||
| x_ = mesher.locations(direction); | ||
| dzMap_ = new TripleBandLinearOp(new FirstDerivativeOp(direction, mesher).mult(-1.0 * x_ * model.a()).add( | ||
| new SecondDerivativeOp(direction, mesher).mult(0.5 * model.sigma() * model.sigma() | ||
| * new Vector(mesher.layout().size(), 1.0)))); | ||
| mapT_ = new TripleBandLinearOp(direction, mesher); | ||
| direction_ = direction; | ||
| model_ = model; | ||
| } | ||
| public override int size() { return 1; } | ||
|
|
||
| //! Time \f$t1 <= t2\f$ is required | ||
| public override void setTime(double t1, double t2) | ||
| { | ||
| OneFactorModel.ShortRateDynamics dynamics = model_.dynamics(); | ||
|
|
||
| double phi = 0.5* ( dynamics.shortRate(t1, 0.0) | ||
| + dynamics.shortRate(t2, 0.0)); | ||
|
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| mapT_.axpyb(new Vector(), dzMap_, dzMap_, -1.0 * (x_ + phi)); | ||
| } | ||
|
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||
| public override Vector apply(Vector r) | ||
| { | ||
| return mapT_.apply(r); | ||
| } | ||
|
|
||
| public override Vector apply_mixed(Vector r) { | ||
| Vector retVal = new Vector(r.size(), 0.0); | ||
| return retVal; | ||
| } | ||
|
|
||
| public override Vector apply_direction(int direction, Vector r) { | ||
| if (direction == direction_) | ||
| return mapT_.apply(r); | ||
| else { | ||
| Vector retVal = new Vector(r.size(), 0.0); | ||
| return retVal; | ||
| } | ||
| } | ||
| public override Vector solve_splitting(int direction, Vector r, double s) { | ||
| if (direction == direction_) | ||
| return mapT_.solve_splitting(r, s, 1.0); | ||
| else { | ||
| Vector retVal = new Vector(r.size(), 0.0); | ||
| return retVal; | ||
| } | ||
| } | ||
| public override Vector preconditioner(Vector r, double s) { return solve_splitting(direction_, r, s); } | ||
|
|
||
| public override List<SparseMatrix> toMatrixDecomp() | ||
| { | ||
| List<SparseMatrix> retVal = new InitializedList<SparseMatrix>(1, mapT_.toMatrix()); | ||
| return retVal; | ||
| } | ||
|
|
||
| #region IOperator interface | ||
| public override IOperator identity(int size) { return null; } | ||
| public override Vector applyTo(Vector v) { return new Vector(); } | ||
| public override Vector solveFor(Vector rhs) { return new Vector(); } | ||
|
|
||
| public override IOperator multiply(double a, IOperator D) { return null; } | ||
| public override IOperator add(IOperator A, IOperator B) { return null; } | ||
| public override IOperator subtract(IOperator A, IOperator B) { return null; } | ||
|
|
||
| public override bool isTimeDependent() { return false; } | ||
| public override void setTime(double t) { } | ||
| public override object Clone() { return this.MemberwiseClone(); } | ||
| #endregion | ||
|
|
||
| protected HullWhite model_; | ||
| protected Vector x_; | ||
| protected TripleBandLinearOp dzMap_; | ||
| protected TripleBandLinearOp mapT_; | ||
| protected int direction_; | ||
| } | ||
| } |
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65 changes: 65 additions & 0 deletions
65
src/QLNet/Methods/Finitedifferences/Solvers/FdmHullWhiteSolver.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,65 @@ | ||
| /* | ||
| Copyright (C) 2017 Jean-Camille Tournier (jean-camille.tournier@avivainvestors.com) | ||
| This file is part of QLNet Project https://github.com/amaggiulli/qlnet | ||
| QLNet is free software: you can redistribute it and/or modify it | ||
| under the terms of the QLNet license. You should have received a | ||
| copy of the license along with this program; if not, license is | ||
| available online at <http://qlnet.sourceforge.net/License.html>. | ||
| QLNet is a based on QuantLib, a free-software/open-source library | ||
| for financial quantitative analysts and developers - http://quantlib.org/ | ||
| The QuantLib license is 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. | ||
| */ | ||
|
|
||
| using System; | ||
|
|
||
| namespace QLNet | ||
| { | ||
| public class FdmHullWhiteSolver : LazyObject | ||
| { | ||
| public FdmHullWhiteSolver( | ||
| Handle<HullWhite> model, | ||
| FdmSolverDesc solverDesc, | ||
| FdmSchemeDesc schemeDesc = null) | ||
| { | ||
| solverDesc_ = solverDesc; | ||
| schemeDesc_ = schemeDesc ?? new FdmSchemeDesc().Hundsdorfer(); | ||
| model_ = model; | ||
| model_.registerWith(update); | ||
| } | ||
|
|
||
| public double valueAt(double s) | ||
| { | ||
| calculate(); | ||
| return solver_.interpolateAt(s); | ||
| } | ||
| public double deltaAt(double s) { | ||
| return 0.0; | ||
| } | ||
| public double gammaAt(double s) { | ||
| return 0.0; | ||
| } | ||
| public double thetaAt(double s) { | ||
| return 0.0; | ||
| } | ||
|
|
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| protected override void performCalculations() | ||
| { | ||
| FdmHullWhiteOp op = new FdmHullWhiteOp( | ||
| solverDesc_.mesher, model_.currentLink(), 0); | ||
|
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| solver_ = new Fdm1DimSolver(solverDesc_, schemeDesc_, op); | ||
| } | ||
|
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| protected Handle<HullWhite> model_; | ||
| protected FdmSolverDesc solverDesc_; | ||
| protected FdmSchemeDesc schemeDesc_; | ||
| protected Fdm1DimSolver solver_; | ||
| } | ||
| } |
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