boundarycondition.hpp

Go to the documentation of this file.

/* -*- 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.
*/
 
/*! \file boundarycondition.hpp
    \brief boundary conditions for differential operators
*/
 
#ifndef quantlib_boundary_condition_hpp
#define quantlib_boundary_condition_hpp
 
#include <ql/utilities/null.hpp>
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
 
namespace QuantLib {
 
    //! Abstract boundary condition class for finite difference problems
    /*! \ingroup findiff */
    template <class Operator>
    class BoundaryCondition {
      public:
        // types and enumerations
        typedef Operator operator_type;
        typedef typename Operator::array_type array_type;
        //! \todo Generalize for n-dimensional conditions
        enum Side { None, Upper, Lower };
        // destructor
        virtual ~BoundaryCondition() = default;
        // interface
        /*! This method modifies an operator \f$ L \f$ before it is
            applied to an array \f$ u \f$ so that \f$ v = Lu \f$ will
            satisfy the given condition. */
        virtual void applyBeforeApplying(operator_type&) const = 0;
        /*! This method modifies an array \f$ u \f$ so that it satisfies
            the given condition. */
        virtual void applyAfterApplying(array_type&) const = 0;
        /*! This method modifies an operator \f$ L \f$ before the linear
            system \f$ Lu' = u \f$ is solved so that \f$ u' \f$ will
            satisfy the given condition. */
        virtual void applyBeforeSolving(operator_type&,
                                        array_type& rhs) const = 0;
        /*! This method modifies an array \f$ u \f$ so that it satisfies
            the given condition. */
        virtual void applyAfterSolving(array_type&) const = 0;
        /*! This method sets the current time for time-dependent
            boundary conditions. */
        virtual void setTime(Time t) = 0;
    };
 
    // Time-independent boundary conditions for tridiagonal operators
 
    //! Neumann boundary condition (i.e., constant derivative)
    /*! \warning The value passed must not be the value of the derivative.
                 Instead, it must be comprehensive of the grid step
                 between the first two points--i.e., it must be the
                 difference between f[0] and f[1].
        \todo generalize to time-dependent conditions.
 
        \ingroup findiff
    */
    class NeumannBC : public BoundaryCondition<TridiagonalOperator> {
      public:
        NeumannBC(Real value, Side side);
        // interface
        void applyBeforeApplying(TridiagonalOperator&) const override;
        void applyAfterApplying(Array&) const override;
        void applyBeforeSolving(TridiagonalOperator&, Array& rhs) const override;
        void applyAfterSolving(Array&) const override;
        void setTime(Time) override {}
 
      private:
        Real value_;
        Side side_;
    };
 
    //! Neumann boundary condition (i.e., constant value)
    /*! \todo generalize to time-dependent conditions.
 
        \ingroup findiff
    */
    class DirichletBC : public BoundaryCondition<TridiagonalOperator> {
      public:
        DirichletBC(Real value, Side side);
        // interface
        void applyBeforeApplying(TridiagonalOperator&) const override;
        void applyAfterApplying(Array&) const override;
        void applyBeforeSolving(TridiagonalOperator&, Array& rhs) const override;
        void applyAfterSolving(Array&) const override;
        void setTime(Time) override {}
 
      private:
        Real value_;
        Side side_;
    };
 
}
 
 
 
 
#endif