/usr/include/ql/experimental/finitedifferences/fdmbackwardsolver.hpp is in libquantlib0-dev 1.1-2build1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2009 Andreas Gaida
Copyright (C) 2009 Ralph Schreyer
Copyright (C) 2009 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 fdmbackwardsolver.hpp
*/
#ifndef quantlib_fdm_backward_solver_hpp
#define quantlib_fdm_backward_solver_hpp
#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
namespace QuantLib {
class FdmLinearOpComposite;
class FdmStepConditionComposite;
struct FdmSchemeDesc {
enum FdmSchemeType { HundsdorferType, DouglasType,
CraigSneydType, ModifiedCraigSneydType,
ImplicitEulerType, ExplicitEulerType };
FdmSchemeDesc(FdmSchemeType type, Real theta, Real mu);
const FdmSchemeType type;
const Real theta, mu;
// some default scheme descriptions
static FdmSchemeDesc Douglas();
static FdmSchemeDesc ImplicitEuler();
static FdmSchemeDesc ExplicitEuler();
static FdmSchemeDesc CraigSneyd();
static FdmSchemeDesc ModifiedCraigSneyd();
static FdmSchemeDesc Hundsdorfer();
static FdmSchemeDesc ModifiedHundsdorfer();
};
class FdmBackwardSolver {
public:
typedef FdmLinearOp::array_type array_type;
FdmBackwardSolver(
const boost::shared_ptr<FdmLinearOpComposite>& map,
const FdmBoundaryConditionSet& bcSet,
const boost::shared_ptr<FdmStepConditionComposite> condition,
const FdmSchemeDesc& schemeDesc);
void rollback(array_type& a,
Time from, Time to,
Size steps, Size dampingSteps);
protected:
const boost::shared_ptr<FdmLinearOpComposite> map_;
const FdmBoundaryConditionSet bcSet_;
const boost::shared_ptr<FdmStepConditionComposite> condition_;
const FdmSchemeDesc schemeDesc_;
};
}
#endif
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