QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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expliciteulerscheme.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Andreas Gaida
5 Copyright (C) 2009 Ralph Schreyer
6 Copyright (C) 2009 Klaus Spanderen
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20 */
21
23#include <utility>
24
25namespace QuantLib {
26 ExplicitEulerScheme::ExplicitEulerScheme(ext::shared_ptr<FdmLinearOpComposite> map,
27 const bc_set& bcSet)
28 : dt_(Null<Real>()), map_(std::move(map)), bcSet_(bcSet) {}
29
31 step(a, t, 1.0);
32 }
33
35 QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
36 map_->setTime(std::max(0.0, t - dt_), t);
37 bcSet_.setTime(std::max(0.0, t-dt_));
38
40 a += (theta*dt_) * map_->apply(a);
42 }
43
45 dt_ = dt;
46 }
47}
const BoundaryConditionSchemeHelper bcSet_
const ext::shared_ptr< FdmLinearOpComposite > map_
ExplicitEulerScheme(ext::shared_ptr< FdmLinearOpComposite > map, const bc_set &bcSet=bc_set())
void step(array_type &a, Time t)
template class providing a null value for a given type.
Definition: null.hpp:76
const DefaultType & t
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
explicit-Euler scheme
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real theta
Definition: any.hpp:35
STL namespace.