/usr/include/ql/methods/finitedifferences/mixedscheme.hpp is in libquantlib0-dev 1.4-2.
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) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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 mixedscheme.hpp
\brief Mixed (explicit/implicit) scheme for finite difference methods
*/
#ifndef quantlib_mixed_scheme_hpp
#define quantlib_mixed_scheme_hpp
#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
namespace QuantLib {
//! Mixed (explicit/implicit) scheme for finite difference methods
/*! In this implementation, the passed operator must be derived
from either TimeConstantOperator or TimeDependentOperator.
Also, it must implement at least the following interface:
\code
typedef ... array_type;
// copy constructor/assignment
// (these will be provided by the compiler if none is defined)
Operator(const Operator&);
Operator& operator=(const Operator&);
// inspectors
Size size();
// modifiers
void setTime(Time t);
// operator interface
array_type applyTo(const array_type&);
array_type solveFor(const array_type&);
static Operator identity(Size size);
// operator algebra
Operator operator*(Real, const Operator&);
Operator operator+(const Operator&, const Operator&);
Operator operator+(const Operator&, const Operator&);
\endcode
\warning The differential operator must be linear for
this evolver to work.
\todo
- derive variable theta schemes
- introduce multi time-level schemes.
\ingroup findiff
*/
template <class Operator>
class MixedScheme {
public:
// typedefs
typedef OperatorTraits<Operator> traits;
typedef typename traits::operator_type operator_type;
typedef typename traits::array_type array_type;
typedef typename traits::bc_set bc_set;
typedef typename traits::condition_type condition_type;
// constructors
MixedScheme(const operator_type& L,
Real theta,
const bc_set& bcs)
: L_(L), I_(operator_type::identity(L.size())),
dt_(0.0), theta_(theta) , bcs_(bcs) {}
void step(array_type& a,
Time t);
void setStep(Time dt) {
dt_ = dt;
if (theta_!=1.0) // there is an explicit part
explicitPart_ = I_-((1.0-theta_) * dt_)*L_;
if (theta_!=0.0) // there is an implicit part
implicitPart_ = I_+(theta_ * dt_)*L_;
}
protected:
operator_type L_, I_, explicitPart_, implicitPart_;
Time dt_;
Real theta_;
bc_set bcs_;
};
// inline definitions
template <class Operator>
inline void MixedScheme<Operator>::step(array_type& a, Time t) {
Size i;
for (i=0; i<bcs_.size(); i++)
bcs_[i]->setTime(t);
if (theta_!=1.0) { // there is an explicit part
if (L_.isTimeDependent()) {
L_.setTime(t);
explicitPart_ = I_-((1.0-theta_) * dt_)*L_;
}
for (i=0; i<bcs_.size(); i++)
bcs_[i]->applyBeforeApplying(explicitPart_);
a = explicitPart_.applyTo(a);
for (i=0; i<bcs_.size(); i++)
bcs_[i]->applyAfterApplying(a);
}
if (theta_!=0.0) { // there is an implicit part
if (L_.isTimeDependent()) {
L_.setTime(t-dt_);
implicitPart_ = I_+(theta_ * dt_)*L_;
}
for (i=0; i<bcs_.size(); i++)
bcs_[i]->applyBeforeSolving(implicitPart_,a);
implicitPart_.solveFor(a, a);
for (i=0; i<bcs_.size(); i++)
bcs_[i]->applyAfterSolving(a);
}
}
}
#endif
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