Merge pull request #824.

Finite Difference Engine for Option under CoxIngersollRoss Short Rate Process
lballabio · May 30, 2020 · f56c717 · f56c717
2 parents 4df35a9 + 23907f1
commit f56c717
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Showing 26 changed files with 1,105 additions and 0 deletions.
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -1175,6 +1175,7 @@
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmg2op.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonop.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmcirop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearop.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmlinearopcomposite.hpp" />
@@ -1218,6 +1219,7 @@
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmg2solver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp" />
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmcirsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmndimsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.hpp" />
@@ -1569,6 +1571,7 @@
     <ClInclude Include="ql\pricingengines\vanilla\fdsimplebsswingengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdstepconditionengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdvanillaengine.hpp" />
+    <ClInclude Include="ql\pricingengines\vanilla\fdcirvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\hestonexpansionengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\integralengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\jumpdiffusionengine.hpp" />
@@ -1583,6 +1586,7 @@
     <ClInclude Include="ql\processes\all.hpp" />
     <ClInclude Include="ql\processes\batesprocess.hpp" />
     <ClInclude Include="ql\processes\blackscholesprocess.hpp" />
+    <ClInclude Include="ql\processes\coxingersollrossprocess.hpp" />
     <ClInclude Include="ql\processes\endeulerdiscretization.hpp" />
     <ClInclude Include="ql\processes\eulerdiscretization.hpp" />
     <ClInclude Include="ql\processes\forwardmeasureprocess.hpp" />
@@ -2293,6 +2297,7 @@
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmg2op.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonhullwhiteop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonop.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmcirop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmhullwhiteop.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmlinearoplayout.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmlocalvolfwdop.cpp" />
@@ -2323,6 +2328,7 @@
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmg2solver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonhullwhitesolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.cpp" />
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmcirsolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhullwhitesolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmsimple2dbssolver.cpp" />
     <ClCompile Include="ql\methods\finitedifferences\stepconditions\fdmamericanstepcondition.cpp" />
@@ -2565,6 +2571,7 @@
     <ClCompile Include="ql\pricingengines\vanilla\fdsabrvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdsimplebsswingengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdvanillaengine.cpp" />
+    <ClCompile Include="ql\pricingengines\vanilla\fdcirvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\hestonexpansionengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\integralengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\jumpdiffusionengine.cpp" />
@@ -2574,6 +2581,7 @@
     <ClCompile Include="ql\pricingengines\vanilla\mchestonhullwhiteengine.cpp" />
     <ClCompile Include="ql\processes\batesprocess.cpp" />
     <ClCompile Include="ql\processes\blackscholesprocess.cpp" />
+    <ClCompile Include="ql\processes\coxingersollrossprocess.cpp" />
     <ClCompile Include="ql\processes\endeulerdiscretization.cpp" />
     <ClCompile Include="ql\processes\eulerdiscretization.cpp" />
     <ClCompile Include="ql\processes\forwardmeasureprocess.cpp" />

diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
@@ -2241,6 +2241,9 @@
     <ClInclude Include="ql\processes\blackscholesprocess.hpp">
       <Filter>processes</Filter>
     </ClInclude>
+    <ClInclude Include="ql\processes\coxingersollrossprocess.hpp">
+      <Filter>processes</Filter>
+    </ClInclude>
     <ClInclude Include="ql\processes\endeulerdiscretization.hpp">
       <Filter>processes</Filter>
     </ClInclude>
@@ -3892,6 +3895,9 @@
     <ClInclude Include="ql\pricingengines\vanilla\fdhestonvanillaengine.hpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\vanilla\fdcirvanillaengine.hpp">
+      <Filter>pricingengines\vanilla</Filter>
+    </ClInclude>
     <ClInclude Include="ql\methods\finitedifferences\meshers\fdm1dmesher.hpp">
       <Filter>methods\finitedifferences\meshers</Filter>
     </ClInclude>
@@ -3949,6 +3955,9 @@
     <ClInclude Include="ql\methods\finitedifferences\operators\fdmhestonop.hpp">
       <Filter>methods\finitedifferences\operators</Filter>
     </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\operators\fdmcirop.hpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClInclude>
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmbatessolver.hpp">
       <Filter>methods\finitedifferences\solvers</Filter>
     </ClInclude>
@@ -3961,6 +3970,9 @@
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.hpp">
       <Filter>methods\finitedifferences\solvers</Filter>
     </ClInclude>
+    <ClInclude Include="ql\methods\finitedifferences\solvers\fdmcirsolver.hpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClInclude>
     <ClInclude Include="ql\methods\finitedifferences\meshers\fdmblackscholesmesher.hpp">
       <Filter>methods\finitedifferences\meshers</Filter>
     </ClInclude>
@@ -5445,6 +5457,9 @@
     <ClCompile Include="ql\processes\blackscholesprocess.cpp">
       <Filter>processes</Filter>
     </ClCompile>
+    <ClCompile Include="ql\processes\coxingersollrossprocess.cpp">
+      <Filter>processes</Filter>
+    </ClCompile>
     <ClCompile Include="ql\processes\endeulerdiscretization.cpp">
       <Filter>processes</Filter>
     </ClCompile>
@@ -6621,6 +6636,9 @@
     <ClCompile Include="ql\pricingengines\vanilla\fdhestonvanillaengine.cpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\vanilla\fdcirvanillaengine.cpp">
+      <Filter>pricingengines\vanilla</Filter>
+    </ClCompile>
     <ClCompile Include="ql\methods\finitedifferences\operators\fdm2dblackscholesop.cpp">
       <Filter>methods\finitedifferences\operators</Filter>
     </ClCompile>
@@ -6666,6 +6684,9 @@
     <ClCompile Include="ql\methods\finitedifferences\operators\fdmhestonop.cpp">
       <Filter>methods\finitedifferences\operators</Filter>
     </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\operators\fdmcirop.cpp">
+      <Filter>methods\finitedifferences\operators</Filter>
+    </ClCompile>
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmbatessolver.cpp">
       <Filter>methods\finitedifferences\solvers</Filter>
     </ClCompile>
@@ -6678,6 +6699,9 @@
     <ClCompile Include="ql\methods\finitedifferences\solvers\fdmhestonsolver.cpp">
       <Filter>methods\finitedifferences\solvers</Filter>
     </ClCompile>
+    <ClCompile Include="ql\methods\finitedifferences\solvers\fdmcirsolver.cpp">
+      <Filter>methods\finitedifferences\solvers</Filter>
+    </ClCompile>
     <ClCompile Include="ql\methods\finitedifferences\meshers\fdmblackscholesmesher.cpp">
       <Filter>methods\finitedifferences\meshers</Filter>
     </ClCompile>

diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
@@ -453,6 +453,7 @@ set(QuantLib_SRC
     methods/finitedifferences/operators/fdmg2op.cpp
     methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp
     methods/finitedifferences/operators/fdmhestonop.cpp
+    methods/finitedifferences/operators/fdmcirop.cpp
     methods/finitedifferences/operators/fdmhullwhiteop.cpp
     methods/finitedifferences/operators/fdmlinearoplayout.cpp
     methods/finitedifferences/operators/fdmlocalvolfwdop.cpp
@@ -483,6 +484,7 @@ set(QuantLib_SRC
     methods/finitedifferences/solvers/fdmg2solver.cpp
     methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp
     methods/finitedifferences/solvers/fdmhestonsolver.cpp
+    methods/finitedifferences/solvers/fdmcirsolver.cpp
     methods/finitedifferences/solvers/fdmhullwhitesolver.cpp
     methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp
     methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp
@@ -722,6 +724,7 @@ set(QuantLib_SRC
     pricingengines/vanilla/exponentialfittinghestonengine.cpp
     pricingengines/vanilla/fdbatesvanillaengine.cpp
     pricingengines/vanilla/fdblackscholesvanillaengine.cpp
+    pricingengines/vanilla/fdcirvanillaengine.cpp
     pricingengines/vanilla/fdcevvanillaengine.cpp
     pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp
     pricingengines/vanilla/fdhestonvanillaengine.cpp
@@ -752,6 +755,7 @@ set(QuantLib_SRC
     processes/merton76process.cpp
     processes/mfstateprocess.cpp
     processes/ornsteinuhlenbeckprocess.cpp
+    processes/coxingersollrossprocess.cpp
     processes/squarerootprocess.cpp
     processes/stochasticprocessarray.cpp
     quotes/eurodollarfuturesquote.cpp
@@ -1602,6 +1606,7 @@ set(QuantLib_HDR
     methods/finitedifferences/operators/fdmg2op.hpp
     methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp
     methods/finitedifferences/operators/fdmhestonop.hpp
+    methods/finitedifferences/operators/fdmcirop.hpp
     methods/finitedifferences/operators/fdmhullwhiteop.hpp
     methods/finitedifferences/operators/fdmlinearop.hpp
     methods/finitedifferences/operators/fdmlinearopcomposite.hpp
@@ -1645,6 +1650,7 @@ set(QuantLib_HDR
     methods/finitedifferences/solvers/fdmg2solver.hpp
     methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp
     methods/finitedifferences/solvers/fdmhestonsolver.hpp
+    methods/finitedifferences/solvers/fdmcirsolver.hpp
     methods/finitedifferences/solvers/fdmhullwhitesolver.hpp
     methods/finitedifferences/solvers/fdmndimsolver.hpp
     methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp
@@ -1988,6 +1994,7 @@ set(QuantLib_HDR
     pricingengines/vanilla/fdbatesvanillaengine.hpp
     pricingengines/vanilla/fdbermudanengine.hpp
     pricingengines/vanilla/fdblackscholesvanillaengine.hpp
+    pricingengines/vanilla/fdcirvanillaengine.hpp
     pricingengines/vanilla/fdcevvanillaengine.hpp
     pricingengines/vanilla/fdconditions.hpp
     pricingengines/vanilla/fddividendamericanengine.hpp
@@ -2032,6 +2039,7 @@ set(QuantLib_HDR
     processes/merton76process.hpp
     processes/mfstateprocess.hpp
     processes/ornsteinuhlenbeckprocess.hpp
+    processes/coxingersollrossprocess.hpp
     processes/squarerootprocess.hpp
     processes/stochasticprocessarray.hpp
     qldefines.hpp

diff --git a/ql/methods/finitedifferences/operators/Makefile.am b/ql/methods/finitedifferences/operators/Makefile.am
@@ -11,6 +11,7 @@ this_include_HEADERS = \
 	fdmg2op.hpp \
 	fdmhestonhullwhiteop.hpp \
 	fdmhestonop.hpp \
+	fdmcirop.hpp \
 	fdmhullwhiteop.hpp \
 	fdmlinearopcomposite.hpp \
 	fdmlocalvolfwdop.hpp \
@@ -35,6 +36,7 @@ cpp_files = \
 	fdmg2op.cpp \
 	fdmhestonhullwhiteop.cpp \
 	fdmhestonop.cpp \
+	fdmcirop.cpp \
 	fdmhullwhiteop.cpp \
 	fdmlinearoplayout.cpp \
 	fdmlocalvolfwdop.cpp \

diff --git a/ql/methods/finitedifferences/operators/all.hpp b/ql/methods/finitedifferences/operators/all.hpp
@@ -8,6 +8,7 @@
 #include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
 #include <ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
+#include <ql/methods/finitedifferences/operators/fdmcirop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
 #include <ql/methods/finitedifferences/operators/fdmlocalvolfwdop.hpp>