1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file dplus.hpp
21     \brief \f$ D_{+} \f$ matricial representation
22 */
23 
24 #ifndef quantlib_d_plus_h
25 #define quantlib_d_plus_h
26 
27 #include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
28 
29 namespace QuantLib {
30 
31     //! \f$ D_{+} \f$ matricial representation
32     /*! The differential operator \f$ D_{+} \f$ discretizes the
33         first derivative with the first-order formula
34         \f[ \frac{\partial u_{i}}{\partial x} \approx
35             \frac{u_{i+1}-u_{i}}{h} = D_{+} u_{i}
36         \f]
37 
38         \ingroup findiff
39     */
40     class DPlus : public TridiagonalOperator {
41       public:
42         DPlus(Size gridPoints, Real h);
43     };
44 
45 
46     // inline definitions
47 
DPlus(Size gridPoints,Real h)48     inline DPlus::DPlus(Size gridPoints, Real h)
49     : TridiagonalOperator(gridPoints) {
50         setFirstRow(-1/h,1/h);
51         setMidRows(0.0,-1/h,1/h);
52         setLastRow(-1/h,1/h);                   // linear extrapolation
53     }
54 
55 }
56 
57 
58 #endif
59