/usr/include/ql/experimental/finitedifferences/douglasscheme.hpp is in libquantlib0-dev 1.1-2build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 | /* -*- 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.
*/
/*! \file douglasscheme.hpp
\brief Douglas operator splitting
*/
#ifndef quantlib_douglas_scheme_hpp
#define quantlib_douglas_scheme_hpp
#include <ql/methods/finitedifferences/operatortraits.hpp>
#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
namespace QuantLib {
class DouglasScheme {
public:
// typedefs
typedef OperatorTraits<FdmLinearOp> traits;
typedef traits::operator_type operator_type;
typedef traits::array_type array_type;
typedef traits::bc_set bc_set;
typedef traits::condition_type condition_type;
// constructors
DouglasScheme(Real theta,
const boost::shared_ptr<FdmLinearOpComposite> & map,
const std::vector<boost::shared_ptr<FdmDirichletBoundary> > & bc_set
= std::vector<boost::shared_ptr<FdmDirichletBoundary> >());
void step(array_type& a, Time t);
void setStep(Time dt);
protected:
Time dt_;
const Real theta_;
const boost::shared_ptr<FdmLinearOpComposite> & map_;
const std::vector<boost::shared_ptr<FdmDirichletBoundary> > bcSet_;
};
}
#endif
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