/usr/include/ql/methods/finitedifferences/finitedifferencemodel.hpp is in libquantlib0-dev 1.7.1-1.
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) 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 finitedifferencemodel.hpp
\brief generic finite difference model
*/
#ifndef quantlib_finite_difference_model_hpp
#define quantlib_finite_difference_model_hpp
#include <ql/methods/finitedifferences/stepcondition.hpp>
#include <ql/methods/finitedifferences/boundarycondition.hpp>
#include <ql/methods/finitedifferences/operatortraits.hpp>
namespace QuantLib {
//! Generic finite difference model
/*! \ingroup findiff */
template<class Evolver>
class FiniteDifferenceModel {
public:
typedef typename Evolver::traits 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
FiniteDifferenceModel(const operator_type& L,
const bc_set& bcs,
const std::vector<Time>& stoppingTimes =
std::vector<Time>())
: evolver_(L,bcs), stoppingTimes_(stoppingTimes) {
std::sort(stoppingTimes_.begin(), stoppingTimes_.end());
std::vector<Time>::iterator last =
std::unique(stoppingTimes_.begin(), stoppingTimes_.end());
stoppingTimes_.erase(last, stoppingTimes_.end());
}
FiniteDifferenceModel(const Evolver& evolver,
const std::vector<Time>& stoppingTimes =
std::vector<Time>())
: evolver_(evolver), stoppingTimes_(stoppingTimes) {
std::sort(stoppingTimes_.begin(), stoppingTimes_.end());
std::vector<Time>::iterator last =
std::unique(stoppingTimes_.begin(), stoppingTimes_.end());
stoppingTimes_.erase(last, stoppingTimes_.end());
}
// methods
// array_type grid() const { return evolver.xGrid(); }
const Evolver& evolver() const{ return evolver_; }
/*! solves the problem between the given times.
\warning being this a rollback, <tt>from</tt> must be a later
time than <tt>to</tt>.
*/
void rollback(array_type& a,
Time from,
Time to,
Size steps) {
rollbackImpl(a,from,to,steps,(const condition_type*) 0);
}
/*! solves the problem between the given times,
applying a condition at every step.
\warning being this a rollback, <tt>from</tt> must be a later
time than <tt>to</tt>.
*/
void rollback(array_type& a,
Time from,
Time to,
Size steps,
const condition_type& condition) {
rollbackImpl(a,from,to,steps,&condition);
}
private:
void rollbackImpl(array_type& a,
Time from,
Time to,
Size steps,
const condition_type* condition) {
QL_REQUIRE(from >= to,
"trying to roll back from " << from << " to " << to);
Time dt = (from-to)/steps, t = from;
evolver_.setStep(dt);
if(!stoppingTimes_.empty() && stoppingTimes_.back() == from) {
if (condition)
condition->applyTo(a,from);
}
for (Size i=0; i<steps; ++i, t -= dt) {
Time now = t, next = t-dt;
if (std::fabs(to-next) < std::sqrt(QL_EPSILON)) next = to;
bool hit = false;
for (Integer j = static_cast<Integer>(stoppingTimes_.size())-1; j >= 0 ; --j) {
if (next <= stoppingTimes_[j] && stoppingTimes_[j] < now) {
// a stopping time was hit
hit = true;
// perform a small step to stoppingTimes_[j]...
evolver_.setStep(now-stoppingTimes_[j]);
evolver_.step(a,now);
if (condition)
condition->applyTo(a,stoppingTimes_[j]);
// ...and continue the cycle
now = stoppingTimes_[j];
}
}
// if we did hit...
if (hit) {
// ...we might have to make a small step to
// complete the big one...
if (now > next) {
evolver_.setStep(now - next);
evolver_.step(a,now);
if (condition)
condition->applyTo(a,next);
}
// ...and in any case, we have to reset the
// evolver to the default step.
evolver_.setStep(dt);
} else {
// if we didn't, the evolver is already set to the
// default step, which is ok for us.
evolver_.step(a,now);
if (condition)
condition->applyTo(a, next);
}
}
}
Evolver evolver_;
std::vector<Time> stoppingTimes_;
};
}
#endif
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