1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2009 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/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp>
21 
22 namespace QuantLib {
23 
ModifiedCraigSneydScheme(Real theta,Real mu,const ext::shared_ptr<FdmLinearOpComposite> & map,const bc_set & bcSet)24     ModifiedCraigSneydScheme::ModifiedCraigSneydScheme(
25         Real theta, Real mu,
26         const ext::shared_ptr<FdmLinearOpComposite> & map,
27         const bc_set& bcSet)
28         : dt_(Null<Real>()),
29         theta_(theta),
30         mu_   (mu),
31         map_  (map),
32         bcSet_(bcSet) {
33     }
34 
step(array_type & a,Time t)35     void ModifiedCraigSneydScheme::step(array_type& a, Time t) {
36         QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
37         map_->setTime(std::max(0.0, t-dt_), t);
38         bcSet_.setTime(std::max(0.0, t-dt_));
39 
40         bcSet_.applyBeforeApplying(*map_);
41         Array y = a + dt_*map_->apply(a);
42         bcSet_.applyAfterApplying(y);
43 
44         Array y0 = y;
45 
46         for (Size i=0; i < map_->size(); ++i) {
47             Array rhs = y - theta_*dt_*map_->apply_direction(i, a);
48             y = map_->solve_splitting(i, rhs, -theta_*dt_);
49         }
50 
51         bcSet_.applyBeforeApplying(*map_);
52         Array yt =  y0 + mu_*dt_*map_->apply_mixed(y-a)
53                   +(0.5-mu_)*dt_*map_->apply(y-a);;
54         bcSet_.applyAfterApplying(yt);
55 
56         for (Size i=0; i < map_->size(); ++i) {
57             Array rhs = yt - theta_*dt_*map_->apply_direction(i, a);
58             yt = map_->solve_splitting(i, rhs, -theta_*dt_);
59         }
60         bcSet_.applyAfterSolving(yt);
61 
62         a = yt;
63     }
64 
setStep(Time dt)65     void ModifiedCraigSneydScheme::setStep(Time dt) {
66         dt_=dt;
67     }
68 }
69