financialFoam.C

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/*---------------------------------------------------------------------------*\
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  \\      /  F ield         | OpenFOAM: The Open Source CFD Toolbox
   \\    /   O peration     |
    \\  /    A nd           | www.openfoam.com
     \\/     M anipulation  |
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    Copyright (C) 2011-2016 OpenFOAM Foundation
-------------------------------------------------------------------------------
License
    This file is part of OpenFOAM.
 
    OpenFOAM 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.
 
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    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 OpenFOAM.  If not, see <http://www.gnu.org/licenses/>.
 
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;
}
 
 
// ************************************************************************* //