marian::FDMPricer Class Reference

Class implements algorithm solving pricing PDE. More...

#include <FdmPricer.hpp>

Public Member Functions
	FDMPricer (SmartPointer< FDScheme > scheme, SmartPointer< TridiagonalSolver > solver, SmartPointer< GridBuilder > sgrid, SmartPointer< GridBuilder > tgrid, SmartPointer< RangeSetup > range_setter)
	Constructor.
double	price (Market m, SmartPointer< Option > o, int Ns=100, int Nt=200)
	Method pricing option. More...
void	solveAndSave (Market market, SmartPointer< Option > option, std::string file, int Ns=100, int Nt=200)
	Method solves pricing PDE and save results to csv. More...

Private Attributes
SmartPointer< FDScheme >	scheme_
	FD scheme (Explicit, Implicit, etc)
SmartPointer< GridBuilder >	sgrid_
	Algorithm generating spatial grid.
SmartPointer< GridBuilder >	tgrid_
	Algorithm generating time grid.
SmartPointer< RangeSetup >	range_setter_
	Algorithm defining range of grid.

Detailed Description

Class is implementation of strategy pattern (see [7]). Strategy pattern defines a family of algorithms, encapsulate each one, and make them interchangeable. The algorithms encapsulated in this class are:

• Scheme for FD method
• Spatial discretization
• Time discretization
• FDM Grid builder

Other object required by FDM solver (boundary and initial conditions) are obtained from abstract factory allocated by option being priced

Examples:

convergenceExample.cpp, and EuroOptExample.cpp.

Member Function Documentation

double marian::FDMPricer::price	(	Market	mkt,
		SmartPointer< Option >	option,
		int	Ns = 100,
		int	Nt = 200
	)

The steps of algorithm are as follows:

• Obtaining concentration point and limits of the grid
• Creating the grid
• Calculating initial condition
• Obtaining boundary condition
• Creating diffusion process
• Solving Backward Kolmogorov Equation
• Interpolating results

Parameters

mkt	Market data
option	Financial option
Ns	Number of spatial steps, default number 100
Nt	Number of time steps, default number 200

Examples:

convergenceExample.cpp, and EuroOptExample.cpp.

void marian::FDMPricer::solveAndSave	(	Market	mkt,
		SmartPointer< Option >	option,
		std::string	file,
		int	Ns = 100,
		int	Nt = 200
	)

The steps of algorithm are as follows:

• Obtaining concentration point and limits of the grid
• Creating the grid
• Calculating initial condition
• Obtaining boundary condition
• Creating diffusion process
• Solving Backward Kolmogorov Equation
• Saves results to CSV

Parameters

mkt	Market data
option	Financial option
file	Name of CSV file
Ns	Number of spatial steps
Nt	Number of time steps

Examples:

EuroOptExample.cpp.

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The documentation for this class was generated from the following files:

• C:/Unix/home/OEM/fdm/src/financial/FdmPricer.hpp
• C:/Unix/home/OEM/fdm/src/financial/FdmPricer.cpp