pde.hpp

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#pragma once
 
#include "quant/barrier.hpp" // for ::quant::OptionType
#include "quant/term_structures.hpp"
#include <optional>
#include <vector>
 
namespace quant::pde {
 
struct GridSpec {
    int num_space;       // number of spatial nodes (including boundaries)
    int num_time;        // number of time steps
    double s_max_mult;   // S_max multiple of spot for upper boundary
    double stretch{0.0}; // tanh stretching parameter (0 -> uniform)
};
 
std::vector<double> solve_tridiagonal(const std::vector<double>& a, const std::vector<double>& b,
                                      const std::vector<double>& c, const std::vector<double>& d);
 
struct PdeParams {
    double spot;
    double strike;
    double rate;
    double dividend;
    double vol;
    double time;
    ::quant::OptionType type;
    GridSpec grid;
    bool log_space{false};
    enum class UpperBoundary { Dirichlet, Neumann };
    UpperBoundary upper_boundary{UpperBoundary::Dirichlet};
    bool compute_theta{false};
    bool use_rannacher{true};
    // Optional piecewise-constant schedules; when set, override scalars
    std::optional<quant::PiecewiseConstant> rate_schedule{};
    std::optional<quant::PiecewiseConstant> dividend_schedule{};
    std::optional<quant::PiecewiseConstant> vol_schedule{};
};
 
struct PdeResult {
    double price;
    double delta;
    double gamma;
    std::optional<double> theta;
};
 
PdeResult price_crank_nicolson(const PdeParams& p);
 
} // namespace quant::pde