/usr/include/ql/methods/finitedifferences/boundarycondition.hpp is in libquantlib0-dev 1.7.1-1.
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/*
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 boundarycondition.hpp
\brief boundary conditions for differential operators
*/
#ifndef quantlib_boundary_condition_hpp
#define quantlib_boundary_condition_hpp
#include <ql/utilities/null.hpp>
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
namespace QuantLib {
//! Abstract boundary condition class for finite difference problems
/*! \ingroup findiff */
template <class Operator>
class BoundaryCondition {
public:
// types and enumerations
typedef Operator operator_type;
typedef typename Operator::array_type array_type;
//! \todo Generalize for n-dimensional conditions
enum Side { None, Upper, Lower };
// destructor
virtual ~BoundaryCondition() {}
// interface
/*! This method modifies an operator \f$ L \f$ before it is
applied to an array \f$ u \f$ so that \f$ v = Lu \f$ will
satisfy the given condition. */
virtual void applyBeforeApplying(operator_type&) const = 0;
/*! This method modifies an array \f$ u \f$ so that it satisfies
the given condition. */
virtual void applyAfterApplying(array_type&) const = 0;
/*! This method modifies an operator \f$ L \f$ before the linear
system \f$ Lu' = u \f$ is solved so that \f$ u' \f$ will
satisfy the given condition. */
virtual void applyBeforeSolving(operator_type&,
array_type& rhs) const = 0;
/*! This method modifies an array \f$ u \f$ so that it satisfies
the given condition. */
virtual void applyAfterSolving(array_type&) const = 0;
/*! This method sets the current time for time-dependent
boundary conditions. */
virtual void setTime(Time t) = 0;
};
// Time-independent boundary conditions for tridiagonal operators
//! Neumann boundary condition (i.e., constant derivative)
/*! \warning The value passed must not be the value of the derivative.
Instead, it must be comprehensive of the grid step
between the first two points--i.e., it must be the
difference between f[0] and f[1].
\todo generalize to time-dependent conditions.
\ingroup findiff
*/
class NeumannBC : public BoundaryCondition<TridiagonalOperator> {
public:
NeumannBC(Real value, Side side);
// interface
void applyBeforeApplying(TridiagonalOperator&) const;
void applyAfterApplying(Array&) const;
void applyBeforeSolving(TridiagonalOperator&, Array& rhs) const;
void applyAfterSolving(Array&) const;
void setTime(Time) {}
private:
Real value_;
Side side_;
};
//! Neumann boundary condition (i.e., constant value)
/*! \todo generalize to time-dependent conditions.
\ingroup findiff
*/
class DirichletBC : public BoundaryCondition<TridiagonalOperator> {
public:
DirichletBC(Real value, Side side);
// interface
void applyBeforeApplying(TridiagonalOperator&) const;
void applyAfterApplying(Array&) const;
void applyBeforeSolving(TridiagonalOperator&, Array& rhs) const;
void applyAfterSolving(Array&) const;
void setTime(Time) {}
private:
Real value_;
Side side_;
};
}
#endif
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