1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp>
namespace QuantLib {
ModifiedCraigSneydScheme::ModifiedCraigSneydScheme(
Real theta, Real mu,
const boost::shared_ptr<FdmLinearOpComposite> & map,
const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bcSet)
: dt_(Null<Real>()),
theta_(theta),
mu_ (mu),
map_ (map),
bcSet_(bcSet) {
}
void ModifiedCraigSneydScheme::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);
Array y = a + dt_*map_->apply(a);
for (Size i=0; i<bcSet_.size(); i++)
bcSet_[i]->applyAfterApplying(y);
Array y0 = y;
for (Size i=0; i < map_->size(); ++i) {
Array rhs = y - theta_*dt_*map_->apply_direction(i, a);
y = map_->solve_splitting(i, rhs, -theta_*dt_);
}
Array yt = y0 + mu_*dt_*map_->apply_mixed(y-a)
+(0.5-mu_)*dt_*map_->apply(y-a);;
for (Size i=0; i<bcSet_.size(); i++)
bcSet_[i]->applyAfterApplying(yt);
for (Size i=0; i < map_->size(); ++i) {
Array rhs = yt - theta_*dt_*map_->apply_direction(i, a);
yt = map_->solve_splitting(i, rhs, -theta_*dt_);
}
a = yt;
for (Size i=0; i<bcSet_.size(); i++)
bcSet_[i]->applyAfterApplying(a);
}
void ModifiedCraigSneydScheme::setStep(Time dt) {
dt_=dt;
}
}
|
