craigsneydscheme.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Andreas Gaida
 Copyright (C) 2008 Ralph Schreyer
 Copyright (C) 2008 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
 <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.
*/
 
#include <ql/methods/finitedifferences/schemes/craigsneydscheme.hpp>
#include <utility>
 
namespace QuantLib {
 
    CraigSneydScheme::CraigSneydScheme(Real theta,
                                       Real mu,
                                       ext::shared_ptr<FdmLinearOpComposite> map,
                                       const bc_set& bcSet)
    : dt_(Null<Real>()), theta_(theta), mu_(mu), map_(std::move(map)), bcSet_(bcSet) {}
 
    void CraigSneydScheme::step(array_type& a, Time t) {
        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_);
        Array y = a + dt_*map_->apply(a);
        bcSet_.applyAfterApplying(y);
 
        Array y0 = y;
 
        for (Size i=0; i < map_->size(); ++i) {
            Array rhs = y - theta_*dt_*map_->apply_direction(i, a);
            y = map_->solve_splitting(i, rhs, -theta_*dt_);
        }
 
        bcSet_.applyBeforeApplying(*map_);
        Array yt = y0 + mu_*dt_*map_->apply_mixed(y-a);
        bcSet_.applyAfterApplying(yt);
 
        for (Size i=0; i < map_->size(); ++i) {
            Array rhs = yt - theta_*dt_*map_->apply_direction(i, a);
            yt = map_->solve_splitting(i, rhs, -theta_*dt_);
        }
        bcSet_.applyAfterSolving(yt);
 
        a = yt;
    }
 
    void CraigSneydScheme::setStep(Time dt) {
        dt_=dt;
    }
}