applications/solvers/financial/financialFoam/financialFoam.C

   1 /*---------------------------------------------------------------------------*\
   2   =========                 |
   3   \\      /  F ield         | OpenFOAM: The Open Source CFD Toolbox
   4    \\    /   O peration     |
   5     \\  /    A nd           | Copyright (C) 1991-2010 OpenCFD Ltd.
   6      \\/     M anipulation  |
   7 -------------------------------------------------------------------------------
   8 License
   9     This file is part of OpenFOAM.
  10
  11     OpenFOAM is free software: you can redistribute it and/or modify it
  12     under the terms of the GNU General Public License as published by
  13     the Free Software Foundation, either version 3 of the License, or
  14     (at your option) any later version.
  15
  16     OpenFOAM is distributed in the hope that it will be useful, but WITHOUT
  17     ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
  18     FITNESS FOR A PARTICULAR PURPOSE.  See the GNU General Public License
  19     for more details.
  20
  21     You should have received a copy of the GNU General Public License
  22     along with OpenFOAM.  If not, see <http://www.gnu.org/licenses/>.
  23
  24 Application
  25     financialFoam
  26
  27 Description
  28     Solves the Black-Scholes equation to price commodities.
  29
  30 \*---------------------------------------------------------------------------*/
  31
  32 #include "fvCFD.H"
  33 #include "writeCellGraph.H"
  34 #include "OSspecific.H"
  35
  36 // * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //
  37
  38 int main(int argc, char *argv[])
  39 {
  40     #include "setRootCase.H"
  41
  42     #include "createTime.H"
  43     #include "createMesh.H"
  44     #include "createFields.H"
  45
  46     // * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //
  47
  48     Info<< nl << "Calculating value(price of comodities)" << endl;
  49
  50     surfaceScalarField phi("phi", (sigmaSqr - r)*(Pf & mesh.Sf()));
  51
  52     volScalarField DV("DV", 0.5*sigmaSqr*sqr(P.component(Foam::vector::X)));
  53
  54     Info<< "Starting time loop\n" << endl;
  55
  56     while (runTime.loop())
  57     {
  58         delta == fvc::grad(V)().component(Foam::vector::X);
  59
  60         solve
  61         (
  62             fvm::ddt(V)
  63           + fvm::div(phi, V)
  64           - fvm::Sp(fvc::div(phi), V)
  65           - fvm::laplacian(DV, V)
  66          ==
  67           - fvm::Sp(r, V)
  68         );
  69
  70         runTime.write();
  71
  72         if (runTime.outputTime())
  73         {
  74             writeCellGraph(V, runTime.graphFormat());
  75             writeCellGraph(delta, runTime.graphFormat());
  76         }
  77
  78         Info<< "ExecutionTime = " << runTime.elapsedCpuTime() << " s"
  79             << "  ClockTime = " << runTime.elapsedClockTime() << " s"
  80             << nl << endl;
  81     }
  82
  83     Info<< "End\n" << endl;
  84
  85     return 0;
  86 }
  87
  88
  89 // ************************************************************************* //