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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
<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/expliciteulerscheme.hpp>
#include <utility>
namespace QuantLib {
ExplicitEulerScheme::ExplicitEulerScheme(ext::shared_ptr<FdmLinearOpComposite> map,
const bc_set& bcSet)
: dt_(Null<Real>()), map_(std::move(map)), bcSet_(bcSet) {}
void ExplicitEulerScheme::step(array_type& a, Time t) {
step(a, t, 1.0);
}
void ExplicitEulerScheme::step(array_type& a, Time t, Real theta) {
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_);
a += (theta*dt_) * map_->apply(a);
bcSet_.applyAfterApplying(a);
}
void ExplicitEulerScheme::setStep(Time dt) {
dt_ = dt;
}
}
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