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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Andreas Gaida
Copyright (C) 2009 Ralph Schreyer
Copyright (C) 2009 Klaus Spanderen
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/math/matrixutilities/bicgstab.hpp>
#include <ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp>
#include <boost/bind.hpp>
#include <boost/function.hpp>
namespace QuantLib {
ImplicitEulerScheme::ImplicitEulerScheme(
const boost::shared_ptr<FdmLinearOpComposite>& map,
const std::vector<boost::shared_ptr<FdmDirichletBoundary> >& bcSet,
Real relTol)
: dt_ (Null<Real>()),
relTol_(relTol),
map_ (map),
bcSet_ (bcSet) {
}
Disposable<Array> ImplicitEulerScheme::apply(const Array& r) const {
return r - dt_*map_->apply(r);
}
void ImplicitEulerScheme::step(array_type& a, Time t) {
QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
map_->setTime(std::max(0.0, t-dt_), t);
a = BiCGstab(
boost::function<Disposable<Array>(const Array&)>(
boost::bind(&ImplicitEulerScheme::apply, this, _1)),
10*a.size(), relTol_,
boost::function<Disposable<Array>(const Array&)>(
boost::bind(&FdmLinearOpComposite::preconditioner,
map_, _1, -dt_))
).solve(a).x;
for (Size i=0; i<bcSet_.size(); i++)
bcSet_[i]->applyAfterApplying(a);
}
void ImplicitEulerScheme::setStep(Time dt) {
dt_=dt;
}
}
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