1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2012 Peter Caspers
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.
*/
/*! \file fdmtimedepdirichletboundary.cpp
*/
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
#include <ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp>
#include <ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp>
#include <algorithm>
#include <utility>
namespace QuantLib {
FdmTimeDepDirichletBoundary::FdmTimeDepDirichletBoundary(
const ext::shared_ptr<FdmMesher>& mesher,
std::function<Real(Real)> valueOnBoundary,
Size direction,
Side side)
: indices_(FdmIndicesOnBoundary(mesher->layout(), direction, side).getIndices()),
valueOnBoundary_(std::move(valueOnBoundary)), values_(indices_.size()) {}
FdmTimeDepDirichletBoundary::FdmTimeDepDirichletBoundary(
const ext::shared_ptr<FdmMesher>& mesher,
std::function<Array(Real)> valuesOnBoundary,
Size direction,
Side side)
: indices_(FdmIndicesOnBoundary(mesher->layout(), direction, side).getIndices()),
valuesOnBoundary_(std::move(valuesOnBoundary)), values_(indices_.size()) {}
void FdmTimeDepDirichletBoundary::setTime(Time t) {
if (valueOnBoundary_) {
std::fill(values_.begin(), values_.end(), valueOnBoundary_(t));
} else if (valuesOnBoundary_) {
values_ = valuesOnBoundary_(t);
} else {
QL_FAIL("no boundary values defined");
}
}
void FdmTimeDepDirichletBoundary::applyAfterApplying(array_type& a) const {
QL_REQUIRE(indices_.size() == values_.size(),
"values on boundary size (" << values_.size()
<< ") does not match hypersurface size ("
<< indices_.size() << ")");
for (auto iter = indices_.begin(); iter != indices_.end(); ++iter) {
a[*iter] = values_[iter - indices_.begin()];
}
}
void FdmTimeDepDirichletBoundary::applyAfterSolving(array_type& a) const {
this->applyAfterApplying(a);
}
}
|
