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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 finitedifferencemodel.hpp
\brief generic finite difference model
\fullpath
ql/FiniteDifferences/%finitedifferencemodel.hpp
*/
// $Id: finitedifferencemodel.hpp,v 1.11 2002/01/16 14:43:25 nando Exp $
#ifndef quantlib_finite_difference_model_h
#define quantlib_finite_difference_model_h
#include <ql/FiniteDifferences/stepcondition.hpp>
#include <ql/handle.hpp>
#include <ql/null.hpp>
namespace QuantLib {
//! Finite difference framework
/*! See sect. \ref findiff */
namespace FiniteDifferences {
//! Generic finite difference model
/*! See sect. \ref findiff */
template<class Evolver>
class FiniteDifferenceModel {
public:
typedef typename Evolver::arrayType arrayType;
typedef typename Evolver::operatorType operatorType;
// constructor
FiniteDifferenceModel(const operatorType& L) : evolver(L) {}
// methods
// arrayType grid() const { return evolver.xGrid(); }
/*! solves the problem between the given times, possibly
applying a condition at every step.
\warning being this a rollback, <tt>from</tt> must be a later
time than <tt>to</tt>.
*/
void rollback(arrayType& a, Time from, Time to,
Size steps,
Handle<StepCondition<arrayType> > condition =
Handle<StepCondition<arrayType> >());
private:
Evolver evolver;
};
// template definitions
template<class Evolver>
void FiniteDifferenceModel<Evolver>::rollback(
FiniteDifferenceModel::arrayType& a,
Time from, Time to, Size steps,
Handle<StepCondition<arrayType> > condition) {
Time dt = (from-to)/steps, t = from;
evolver.setStep(dt);
for (Size i=0; i<steps; i++, t -= dt) {
evolver.step(a,t);
if (!condition.isNull())
condition->applyTo(a,t);
}
}
}
}
#endif
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