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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
<https://www.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/craigsneydscheme.hpp>
#include <utility>
namespace QuantLib {
CraigSneydScheme::CraigSneydScheme(Real theta,
Real mu,
ext::shared_ptr<FdmLinearOpComposite> map,
const bc_set& bcSet)
: dt_(Null<Real>()), theta_(theta), mu_(mu), map_(std::move(map)), bcSet_(bcSet) {}
void CraigSneydScheme::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);
bcSet_.setTime(std::max(0.0, t-dt_));
bcSet_.applyBeforeApplying(*map_);
Array y = a + dt_*map_->apply(a);
bcSet_.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_);
}
bcSet_.applyBeforeApplying(*map_);
Array yt = y0 + mu_*dt_*map_->apply_mixed(y-a);
bcSet_.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_);
}
bcSet_.applyAfterSolving(yt);
a = yt;
}
void CraigSneydScheme::setStep(Time dt) {
dt_=dt;
}
}
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