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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 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
<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/boundarycondition.hpp>
namespace QuantLib {
NeumannBC::NeumannBC(Real value, NeumannBC::Side side)
: value_(value), side_(side) {}
void NeumannBC::applyBeforeApplying(TridiagonalOperator& L) const {
switch (side_) {
case Lower:
L.setFirstRow(-1.0,1.0);
break;
case Upper:
L.setLastRow(-1.0,1.0);
break;
default:
QL_FAIL("unknown side for Neumann boundary condition");
}
}
void NeumannBC::applyAfterApplying(Array& u) const {
switch (side_) {
case Lower:
u[0] = u[1] - value_;
break;
case Upper:
u[u.size()-1] = u[u.size()-2] + value_;
break;
default:
QL_FAIL("unknown side for Neumann boundary condition");
}
}
void NeumannBC::applyBeforeSolving(TridiagonalOperator& L,
Array& rhs) const {
switch (side_) {
case Lower:
L.setFirstRow(-1.0,1.0);
rhs[0] = value_;
break;
case Upper:
L.setLastRow(-1.0,1.0);
rhs[rhs.size()-1] = value_;
break;
default:
QL_FAIL("unknown side for Neumann boundary condition");
}
}
void NeumannBC::applyAfterSolving(Array&) const {}
DirichletBC::DirichletBC(Real value, DirichletBC::Side side)
: value_(value), side_(side) {}
void DirichletBC::applyBeforeApplying(TridiagonalOperator& L) const {
switch (side_) {
case Lower:
L.setFirstRow(1.0,0.0);
break;
case Upper:
L.setLastRow(0.0,1.0);
break;
default:
QL_FAIL("unknown side for Neumann boundary condition");
}
}
void DirichletBC::applyAfterApplying(Array& u) const {
switch (side_) {
case Lower:
u[0] = value_;
break;
case Upper:
u[u.size()-1] = value_;
break;
default:
QL_FAIL("unknown side for Neumann boundary condition");
}
}
void DirichletBC::applyBeforeSolving(TridiagonalOperator& L,
Array& rhs) const {
switch (side_) {
case Lower:
L.setFirstRow(1.0,0.0);
rhs[0] = value_;
break;
case Upper:
L.setLastRow(0.0,1.0);
rhs[rhs.size()-1] = value_;
break;
default:
QL_FAIL("unknown side for Neumann boundary condition");
}
}
void DirichletBC::applyAfterSolving(Array&) const {}
}
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