#include <ql/math/ode/adaptiverungekutta.hpp>

Collaboration diagram for AdaptiveRungeKutta< T >:

Public Types
typedef ext::function< std::vector< T >(const Real, const std::vector< T > &)>	OdeFct

typedef ext::function< T(const Real, const T)>	OdeFct1d

Public Member Functions
	AdaptiveRungeKutta (const Real eps=1.0e-6, const Real h1=1.0e-4, const Real hmin=0.0)

std::vector< T >	operator() (const OdeFct &ode, const std::vector< T > &y1, Real x1, Real x2)

T	operator() (const OdeFct1d &ode, T y1, Real x1, Real x2)

Private Member Functions
void	rkqs (std::vector< T > &y, const std::vector< T > &dydx, Real &x, Real htry, Real eps, const std::vector< Real > &yScale, Real &hdid, Real &hnext, const OdeFct &derivs)

void	rkck (const std::vector< T > &y, const std::vector< T > &dydx, Real x, Real h, std::vector< T > &yout, std::vector< T > &yerr, const OdeFct &derivs)

Private Attributes
const std::vector< T >	yStart_

const Real	eps_

const Real	h1_

const Real	hmin_

const Real	a2 = 0.2

const Real	a3 = 0.3

const Real	a4 = 0.6

const Real	a5 = 1.0

const Real	a6 = 0.875

const Real	b21 = 0.2

const Real	b31

const Real	b32

const Real	b41 = 0.3

const Real	b42 = -0.9

const Real	b43 = 1.2

const Real	b51

const Real	b52 = 2.5

const Real	b53

const Real	b54

const Real	b61

const Real	b62

const Real	b63

const Real	b64

const Real	b65

const Real	c1

const Real	c3

const Real	c4

const Real	c6

const Real	dc1

const Real	dc3

const Real	dc4

const Real	dc5

const Real	dc6

const double	ADAPTIVERK_MAXSTP = 10000

const double	ADAPTIVERK_TINY = 1.0E-30

const double	ADAPTIVERK_SAFETY = 0.9

const double	ADAPTIVERK_PGROW = -0.2

const double	ADAPTIVERK_PSHRINK = -0.25

const double	ADAPTIVERK_ERRCON = 1.89E-4

Detailed Description

template<class T = Real>
class QuantLib::AdaptiveRungeKutta< T >

Definition at line 40 of file adaptiverungekutta.hpp.

Member Typedef Documentation

◆ OdeFct

typedef ext::function<std::vector<T>(const Real, const std::vector<T>&)> OdeFct

Definition at line 42 of file adaptiverungekutta.hpp.

◆ OdeFct1d

typedef ext::function<T(const Real, const T)> OdeFct1d

Definition at line 43 of file adaptiverungekutta.hpp.

Constructor & Destructor Documentation

◆ AdaptiveRungeKutta()

AdaptiveRungeKutta	(	const Real	eps = `1.0e-6`,
		const Real	h1 = `1.0e-4`,
		const Real	hmin = `0.0`
	)

The class is constructed with the following inputs:

eps prescribed error for the solution
h1 start step size
hmin smallest step size allowed

Definition at line 51 of file adaptiverungekutta.hpp.

Member Function Documentation

◆ operator()() [1/2]

std::vector< T > operator()	(	const OdeFct &	ode,
		const std::vector< T > &	y1,
		Real	x1,
		Real	x2
	)

Integrate the ode from $ x1 $ to $ x2 $ with initial value condition $ f(x1)=y1 $.

The ode is given by a function $ F: R \times K^n \rightarrow K^n $ as $ f'(x) = F(x,f(x)) $, $K=R, C$

Definition at line 99 of file adaptiverungekutta.hpp.

◆ operator()() [2/2]

T operator()	(	const OdeFct1d &	ode,
		T	y1,
		Real	x1,
		Real	x2
	)

Definition at line 147 of file adaptiverungekutta.hpp.

◆ rkqs()

void rkqs	(	std::vector< T > &	y,
		const std::vector< T > &	dydx,
		Real &	x,
		Real	htry,
		Real	eps,
		const std::vector< Real > &	yScale,
		Real &	hdid,
		Real &	hnext,
		const OdeFct &	derivs
	)

private

Definition at line 156 of file adaptiverungekutta.hpp.

◆ rkck()

void rkck	(	const std::vector< T > &	y,
		const std::vector< T > &	dydx,
		Real	x,
		Real	h,
		std::vector< T > &	yout,
		std::vector< T > &	yerr,
		const OdeFct &	derivs
	)

private

Definition at line 207 of file adaptiverungekutta.hpp.

Member Data Documentation

◆ yStart_

const std::vector<T> yStart_

private

Definition at line 86 of file adaptiverungekutta.hpp.

◆ eps_

const Real eps_

private

Definition at line 87 of file adaptiverungekutta.hpp.

◆ h1_

const Real h1_

private

Definition at line 87 of file adaptiverungekutta.hpp.

◆ hmin_

const Real hmin_

private

Definition at line 87 of file adaptiverungekutta.hpp.

◆ a2

const Real a2 = 0.2

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ a3

const Real a3 = 0.3

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ a4

const Real a4 = 0.6

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ a5

const Real a5 = 1.0

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ a6

const Real a6 = 0.875

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ b21

const Real b21 = 0.2

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ b31

const Real b31

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ b32

const Real b32

private

Definition at line 88 of file adaptiverungekutta.hpp.

◆ b41

const Real b41 = 0.3

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b42

const Real b42 = -0.9

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b43

const Real b43 = 1.2

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b51

const Real b51

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b52

const Real b52 = 2.5

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b53

const Real b53

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b54

const Real b54

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b61

const Real b61

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b62

const Real b62

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b63

const Real b63

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b64

const Real b64

private

Definition at line 89 of file adaptiverungekutta.hpp.

◆ b65

const Real b65

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ c1

const Real c1

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ c3

const Real c3

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ c4

const Real c4

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ c6

const Real c6

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ dc1

const Real dc1

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ dc3

const Real dc3

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ dc4

const Real dc4

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ dc5

const Real dc5

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ dc6

const Real dc6

private

Definition at line 90 of file adaptiverungekutta.hpp.

◆ ADAPTIVERK_MAXSTP

const double ADAPTIVERK_MAXSTP = 10000

private

Definition at line 91 of file adaptiverungekutta.hpp.

◆ ADAPTIVERK_TINY

const double ADAPTIVERK_TINY = 1.0E-30

private

Definition at line 91 of file adaptiverungekutta.hpp.

◆ ADAPTIVERK_SAFETY

const double ADAPTIVERK_SAFETY = 0.9

private

Definition at line 91 of file adaptiverungekutta.hpp.

◆ ADAPTIVERK_PGROW

const double ADAPTIVERK_PGROW = -0.2

private

Definition at line 92 of file adaptiverungekutta.hpp.

◆ ADAPTIVERK_PSHRINK

const double ADAPTIVERK_PSHRINK = -0.25

private

Definition at line 92 of file adaptiverungekutta.hpp.

◆ ADAPTIVERK_ERRCON

const double ADAPTIVERK_ERRCON = 1.89E-4

private

Definition at line 93 of file adaptiverungekutta.hpp.

Public Types

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Member Typedef Documentation

◆ OdeFct

◆ OdeFct1d

Constructor & Destructor Documentation

◆ AdaptiveRungeKutta()

Member Function Documentation

◆ operator()() [1/2]

◆ operator()() [2/2]

◆ rkqs()

◆ rkck()

Member Data Documentation

◆ yStart_

◆ eps_

◆ h1_

◆ hmin_

◆ a2

◆ a3

◆ a4

◆ a5

◆ a6

◆ b21

◆ b31

◆ b32

◆ b41

◆ b42

◆ b43

◆ b51

◆ b52

◆ b53

◆ b54

◆ b61

◆ b62

◆ b63

◆ b64

◆ b65

◆ c1

◆ c3

◆ c4

◆ c6

◆ dc1

◆ dc3

◆ dc4

◆ dc5

◆ dc6

◆ ADAPTIVERK_MAXSTP

◆ ADAPTIVERK_TINY

◆ ADAPTIVERK_SAFETY

◆ ADAPTIVERK_PGROW

◆ ADAPTIVERK_PSHRINK

◆ ADAPTIVERK_ERRCON