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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program 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 license for more details.
*/
/*! \file boundarycondition.hpp
\brief boundary conditions for differential operators
\fullpath
ql/FiniteDifferences/%boundarycondition.hpp
*/
// $Id: boundarycondition.hpp,v 1.5 2002/01/16 14:43:25 nando Exp $
#ifndef quantlib_boundary_condition_h
#define quantlib_boundary_condition_h
#include <ql/null.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
namespace FiniteDifferences {
//! Boundary condition for finite difference problems
/*! Three possibilities are given for setting boundary conditions,
namely, no boundary condition, Dirichlet boundary condition
(i.e., constant value), and Neumann boundary condition (i.e.,
constant derivative).
\warning For Neumann conditions. the value passed must not be the
value of the derivative. Instead, it must be comprehensive of the
grid step between the first two points--i.e., it must be the
difference between f[0] and f[1].
*/
class BoundaryCondition {
public:
// enumeration
enum Type { None, Neumann, Dirichlet };
// constructors
BoundaryCondition(Type type = None, double value = Null<double>())
: type_(type), value_(value) {
if (type_ != None)
QL_REQUIRE(value != Null<double>(),
"A value must be supplied for "
"this type of boundary condition");
}
// access methods
Type type() const { return type_; }
double value() const { return value_; }
private:
Type type_;
double value_;
};
}
}
#endif
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