foam-extend4.1-coherent-io/applications/solvers/financial/financialFoam/financialFoam.C

/*---------------------------------------------------------------------------*\
  =========                 |
  \\      /  F ield         | foam-extend: Open Source CFD
   \\    /   O peration     | Version:     4.0
    \\  /    A nd           | Web:         http://www.foam-extend.org
     \\/     M anipulation  | For copyright notice see file Copyright
-------------------------------------------------------------------------------
License
    This file is part of foam-extend.

    foam-extend is free software: you can redistribute it and/or modify it
    under the terms of the GNU General Public License as published by the
    Free Software Foundation, either version 3 of the License, or (at your
    option) any later version.

    foam-extend 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 GNU
    General Public License for more details.

    You should have received a copy of the GNU General Public License
    along with foam-extend.  If not, see <http://www.gnu.org/licenses/>.

Application
    financialFoam

Description
    Solves the Black-Scholes equation to price commodities.

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

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

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

int main(int argc, char *argv[])
{
#   include "setRootCase.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.outputTime())
        {
            writeCellGraph(V, runTime.graphFormat());
            writeCellGraph(delta, runTime.graphFormat());
        }

        Info<< "ExecutionTime = " << runTime.elapsedCpuTime() << " s"
            << "  ClockTime = " << runTime.elapsedClockTime() << " s"
            << nl << endl;
    }

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

    return 0;
}


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