QuantLib: a free/open-source library for quantitative finance
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uniform1dmesher.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Andreas Gaida
5 Copyright (C) 2008 Ralph Schreyer
6 Copyright (C) 2008 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
22/*! \file uniform1dmesher.hpp
23 \brief One-dimensional simple uniform grid mesher
24*/
25
26#ifndef quantlib_fdm_uniform_1d_mesher_hpp
27#define quantlib_fdm_uniform_1d_mesher_hpp
28
30#include <ql/errors.hpp>
31#include <ql/utilities/null.hpp>
32
33namespace QuantLib {
34
36 public:
38 : Fdm1dMesher(size) {
39 QL_REQUIRE(end > start, "end must be large than start");
40
41 const Real dx = (end-start)/(size-1);
42
43 for (Size i=0; i < size-1; ++i) {
44 locations_[i] = start + i*dx;
45 dplus_[i] = dminus_[i+1] = dx;
46 }
47
48 locations_.back() = end;
49 dplus_.back() = dminus_.front() = Null<Real>();
50 }
51 };
52}
53
54#endif
std::vector< Real > locations_
Definition: fdm1dmesher.hpp:47
std::vector< Real > dplus_
Definition: fdm1dmesher.hpp:48
std::vector< Real > dminus_
Definition: fdm1dmesher.hpp:48
template class providing a null value for a given type.
Definition: null.hpp:76
Uniform1dMesher(Real start, Real end, Size size)
Classes and functions for error handling.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
One-dimensional simple FDM mesher object working on an index.
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
null values