methodoflinesscheme.cpp

/* -*- 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
 <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/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;
    }
}