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 expliciteuler.hpp
21     \brief explicit Euler scheme for finite difference methods
22 */
23 
24 #ifndef quantlib_explicit_euler_hpp
25 #define quantlib_explicit_euler_hpp
26 
27 #include <ql/methods/finitedifferences/mixedscheme.hpp>
28 
29 namespace QuantLib {
30 
31     //! %Forward Euler scheme for finite difference methods
32     /*! See sect. \ref findiff for details on the method.
33 
34         In this implementation, the passed operator must be derived
35         from either TimeConstantOperator or TimeDependentOperator.
36         Also, it must implement at least the following interface:
37 
38         \code
39         typedef ... array_type;
40 
41         // copy constructor/assignment
42         // (these will be provided by the compiler if none is defined)
43         Operator(const Operator&);
44         Operator& operator=(const Operator&);
45 
46         // inspectors
47         Size size();
48 
49         // modifiers
50         void setTime(Time t);
51 
52         // operator interface
53         array_type applyTo(const array_type&);
54         static Operator identity(Size size);
55 
56         // operator algebra
57         Operator operator*(Real, const Operator&);
58         Operator operator-(const Operator&, const Operator&);
59         \endcode
60 
61         \todo add Richardson extrapolation
62 
63         \ingroup findiff
64     */
65     template <class Operator>
66     class ExplicitEuler : public MixedScheme<Operator> {
67       public:
68         // typedefs
69         typedef OperatorTraits<Operator> traits;
70         typedef typename traits::operator_type operator_type;
71         typedef typename traits::array_type array_type;
72         typedef typename traits::bc_type bc_type;
73         typedef typename traits::bc_set bc_set;
74         typedef typename traits::condition_type condition_type;
75         // constructors
ExplicitEuler(const operator_type & L,const std::vector<ext::shared_ptr<bc_type>> & bcs)76         ExplicitEuler(const operator_type& L,
77                       const std::vector<ext::shared_ptr<bc_type> >& bcs)
78         : MixedScheme<Operator>(L, 0.0, bcs) {}
79     };
80 
81 }
82 
83 
84 #endif
85