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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 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/math/ode/adaptiverungekutta.hpp>
#include <ql/methods/finitedifferences/schemes/methodoflinesscheme.hpp>
#include <utility>
namespace QuantLib {
MethodOfLinesScheme::MethodOfLinesScheme(const Real eps,
const Real relInitStepSize,
ext::shared_ptr<FdmLinearOpComposite> map,
const bc_set& bcSet)
: dt_(Null<Real>()), eps_(eps), relInitStepSize_(relInitStepSize), map_(std::move(map)),
bcSet_(bcSet) {}
std::vector<Real> MethodOfLinesScheme::apply(Time t, const std::vector<Real>& u) const {
map_->setTime(t, t + 0.0001);
bcSet_.applyBeforeApplying(*map_);
const Array dxdt = -map_->apply(Array(u.begin(), u.end()));
return std::vector<Real>(dxdt.begin(), dxdt.end());
}
void MethodOfLinesScheme::step(array_type& a, Time t) {
QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
const std::vector<Real> v =
AdaptiveRungeKutta<Real>(eps_, relInitStepSize_*dt_)(
[&](Time _t, const std::vector<Real>& _u){ return apply(_t, _u); },
std::vector<Real>(a.begin(), a.end()),
t, std::max(0.0, t-dt_));
Array y(v.begin(), v.end());
bcSet_.applyAfterSolving(y);
a = y;
}
void MethodOfLinesScheme::setStep(Time dt) {
dt_ = dt;
}
}
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