financialFoam.C

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/*---------------------------------------------------------------------------*\
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    \\  /    A nd           | www.openfoam.com
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    Copyright (C) 2011-2016 OpenFOAM Foundation
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License
    This file is part of OpenFOAM.

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    under the terms of the GNU General Public License as published by
    the Free Software Foundation, either version 3 of the License, or
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Application
    financialFoam

Group
    grpFinancialSolvers

Description
    Solves the Black-Scholes equation to price commodities.

\*---------------------------------------------------------------------------*/

#include "fvCFD.H"
#include "writeCellGraph.H"
#include "OSspecific.H"

// * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //

int main(int argc, char *argv[])
{
    argList::addNote
    (
        "Solves the Black-Scholes equation to price commodities."
    );

    #define NO_CONTROL
    #include "postProcess.H"

    #include "addCheckCaseOptions.H"
    #include "setRootCaseLists.H"
    #include "createTime.H"
    #include "createMesh.H"
    #include "createFields.H"

    // * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //

    Info<< nl << "Calculating value(price of comodities)" << endl;

    surfaceScalarField phi("phi", (sigmaSqr - r)*(Pf & mesh.Sf()));

    volScalarField DV("DV", 0.5*sigmaSqr*sqr(P.component(Foam::vector::X)));

    Info<< "Starting time loop\n" << endl;

    while (runTime.loop())
    {
        delta == fvc::grad(V)().component(Foam::vector::X);

        solve
        (
            fvm::ddt(V)
          + fvm::div(phi, V)
          - fvm::Sp(fvc::div(phi), V)
          - fvm::laplacian(DV, V)
         ==
          - fvm::Sp(r, V)
        );

        runTime.write();

        if (runTime.writeTime())
        {
            writeCellGraph(V, runTime.graphFormat());
            writeCellGraph(delta, runTime.graphFormat());
        }

        runTime.printExecutionTime(Info);
    }

    Info<< "End\n" << endl;

    return 0;
}


// ************************************************************************* //