1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2018 Klaus Spanderen
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 #include <ql/math/ode/adaptiverungekutta.hpp>
21 #include <ql/methods/finitedifferences/schemes/methodoflinesscheme.hpp>
22 #include <ql/functional.hpp>
23 
24 namespace QuantLib {
25 
MethodOfLinesScheme(const Real eps,const Real relInitStepSize,const ext::shared_ptr<FdmLinearOpComposite> & map,const bc_set & bcSet)26     MethodOfLinesScheme::MethodOfLinesScheme(
27         const Real eps,
28         const Real relInitStepSize,
29         const ext::shared_ptr<FdmLinearOpComposite> & map,
30         const bc_set& bcSet)
31     : dt_(Null<Real>()),
32       eps_(eps),
33       relInitStepSize_(relInitStepSize),
34       map_(map),
35       bcSet_(bcSet) {
36     }
37 
38 
39     Disposable<std::vector<Real> >
apply(Time t,const std::vector<Real> & u) const40     MethodOfLinesScheme::apply(Time t, const std::vector<Real>& u) const {
41         map_->setTime(t, t + 0.0001);
42         bcSet_.applyBeforeApplying(*map_);
43 
44         const Array dxdt = -map_->apply(Array(u.begin(), u.end()));
45 
46         std::vector<Real> retVal(dxdt.begin(), dxdt.end());
47         return retVal;
48     }
49 
step(array_type & a,Time t)50     void MethodOfLinesScheme::step(array_type& a, Time t) {
51         using namespace ext::placeholders;
52         QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
53 
54         const std::vector<Real> v =
55            AdaptiveRungeKutta<Real>(eps_, relInitStepSize_*dt_)(
56                ext::bind(&MethodOfLinesScheme::apply, this, _1, _2),
57                std::vector<Real>(a.begin(), a.end()),
58                t, std::max(0.0, t-dt_));
59 
60         Array y(v.begin(), v.end());
61 
62         bcSet_.applyAfterSolving(y);
63 
64         a = y;
65     }
66 
setStep(Time dt)67     void MethodOfLinesScheme::setStep(Time dt) {
68         dt_ = dt;
69     }
70 }
71