90 lines
2.7 KiB
C
90 lines
2.7 KiB
C
/*---------------------------------------------------------------------------*\
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========= |
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\\ / F ield | OpenFOAM: The Open Source CFD Toolbox
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\\ / O peration |
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\\ / A nd | Copyright held by original author
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\\/ M anipulation |
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-------------------------------------------------------------------------------
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License
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This file is part of OpenFOAM.
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OpenFOAM is free software; you can redistribute it and/or modify it
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under the terms of the GNU General Public License as published by the
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Free Software Foundation; either version 2 of the License, or (at your
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option) any later version.
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OpenFOAM is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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for more details.
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You should have received a copy of the GNU General Public License
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along with OpenFOAM; if not, write to the Free Software Foundation,
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Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110-1301 USA
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Application
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financialFoam
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Description
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Solves the Black-Scholes equation to price commodities.
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\*---------------------------------------------------------------------------*/
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#include "fvCFD.H"
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#include "writeCellGraph.H"
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#include "OSspecific.H"
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// * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //
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int main(int argc, char *argv[])
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{
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# include "setRootCase.H"
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# include "createTime.H"
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# include "createMesh.H"
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# include "createFields.H"
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// * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //
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Info<< nl << "Calculating value(price of comodities)" << endl;
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surfaceScalarField phi("phi", (sigmaSqr - r)*(Pf & mesh.Sf()));
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volScalarField DV("DV", 0.5*sigmaSqr*sqr(P.component(Foam::vector::X)));
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Info<< "Starting time loop\n" << endl;
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while (runTime.loop())
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{
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delta == fvc::grad(V)().component(Foam::vector::X);
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solve
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(
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fvm::ddt(V)
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+ fvm::div(phi, V)
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- fvm::Sp(fvc::div(phi), V)
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- fvm::laplacian(DV, V)
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==
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- fvm::Sp(r, V)
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);
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runTime.write();
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if (runTime.outputTime())
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{
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writeCellGraph(V, runTime.graphFormat());
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writeCellGraph(delta, runTime.graphFormat());
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}
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Info<< "ExecutionTime = " << runTime.elapsedCpuTime() << " s"
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<< " ClockTime = " << runTime.elapsedClockTime() << " s"
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<< nl << endl;
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}
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Info<< "End\n" << endl;
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return 0;
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}
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// ************************************************************************* //
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