1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2009 Andreas Gaida
5  Copyright (C) 2009 Ralph Schreyer
6  Copyright (C) 2009 Klaus Spanderen
7 
8  This file is part of QuantLib, a free-software/open-source library
9  for financial quantitative analysts and developers - http://quantlib.org/
10 
11  QuantLib is free software: you can redistribute it and/or modify it
12  under the terms of the QuantLib license.  You should have received a
13  copy of the license along with this program; if not, please email
14  <quantlib-dev@lists.sf.net>. The license is also available online at
15  <http://quantlib.org/license.shtml>.
16 
17  This program is distributed in the hope that it will be useful, but WITHOUT
18  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19  FOR A PARTICULAR PURPOSE.  See the license for more details.
20 */
21 
22 /*! \file expliciteulerscheme.hpp
23     \brief explicit-Euler scheme
24 */
25 
26 #ifndef quantlib_explicit_euler_scheme_hpp
27 #define quantlib_explicit_euler_scheme_hpp
28 
29 #include <ql/methods/finitedifferences/operatortraits.hpp>
30 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
31 #include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>
32 
33 namespace QuantLib {
34 
35     class ExplicitEulerScheme  {
36       public:
37         // typedefs
38         typedef OperatorTraits<FdmLinearOp> traits;
39         typedef traits::operator_type operator_type;
40         typedef traits::array_type array_type;
41         typedef traits::bc_set bc_set;
42         typedef traits::condition_type condition_type;
43 
44         // constructors
45         explicit ExplicitEulerScheme(
46             const ext::shared_ptr<FdmLinearOpComposite>& map,
47             const bc_set& bcSet = bc_set());
48 
49         void step(array_type& a, Time t);
50         void setStep(Time dt);
51 
52       protected:
53         friend class CrankNicolsonScheme;
54         void step(array_type& a, Time t, Real theta);
55 
56         Time dt_;
57         const ext::shared_ptr<FdmLinearOpComposite> map_;
58         const BoundaryConditionSchemeHelper bcSet_;
59     };
60 }
61 
62 #endif
63