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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008 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/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
namespace QuantLib {
FdmDirichletBoundary::FdmDirichletBoundary(
const boost::shared_ptr<FdmMesher>& mesher,
Real valueOnBoundary, Size direction,
FdmDirichletBoundary::Side side)
: side_(side),
valueOnBoundary_(valueOnBoundary) {
const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
std::vector<Size> newDim(layout->dim());
newDim[direction] = 1;
const Size hyperSize = std::accumulate(newDim.begin(), newDim.end(),
Size(1), std::multiplies<Size>());
indicies_.resize(hyperSize);
Size i=0;
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
if ( (side == Lower && iter.coordinates()[direction] == 0)
|| (side == Upper && iter.coordinates()[direction]
== layout->dim()[direction]-1)) {
QL_REQUIRE(hyperSize > i, "index missmatch");
indicies_[i++] = iter.index();
}
}
if (side_ == Lower) {
xExtreme_ = mesher->locations(direction)[0];
}
else if (side_ == Upper) {
xExtreme_
= mesher->locations(direction)[layout->dim()[direction]-1];
}
}
void FdmDirichletBoundary::applyAfterApplying(Array& rhs) const {
for (std::vector<Size>::const_iterator iter = indicies_.begin();
iter != indicies_.end(); ++iter) {
rhs[*iter] = valueOnBoundary_;
}
}
void FdmDirichletBoundary::applyAfterSolving(Array& rhs) const {
this->applyAfterApplying(rhs);
}
Real FdmDirichletBoundary::applyAfterApplying(Real x, Real value) const {
return ( (side_ == Lower && x < xExtreme_)
|| (side_ == Upper && x > xExtreme_)) ? valueOnBoundary_ : value;
}
}
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