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expliciteuler.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file expliciteuler.hpp
    \brief explicit Euler scheme for finite difference methods
*/

#ifndef quantlib_explicit_euler_hpp
#define quantlib_explicit_euler_hpp

#include <ql/methods/finitedifferences/mixedscheme.hpp>

namespace QuantLib {

    //! %Forward Euler scheme for finite difference methods
    /*! See sect. \ref findiff for details on the method.

        In this implementation, the passed operator must be derived
        from either TimeConstantOperator or TimeDependentOperator.
        Also, it must implement at least the following interface:

        \code
        typedef ... array_type;

        // copy constructor/assignment
        // (these will be provided by the compiler if none is defined)
        Operator(const Operator&);
        Operator& operator=(const Operator&);

        // inspectors
        Size size();

        // modifiers
        void setTime(Time t);

        // operator interface
        array_type applyTo(const array_type&);
        static Operator identity(Size size);

        // operator algebra
        Operator operator*(Real, const Operator&);
        Operator operator-(const Operator&, const Operator&);
        \endcode

        \todo add Richardson extrapolation

        \ingroup findiff
    */
    template <class Operator>
00066     class ExplicitEuler : public MixedScheme<Operator> {
      public:
        // typedefs
        typedef OperatorTraits<Operator> traits;
        typedef typename traits::operator_type operator_type;
        typedef typename traits::array_type array_type;
        typedef typename traits::bc_type bc_type;
        typedef typename traits::bc_set bc_set;
        typedef typename traits::condition_type condition_type;
        // constructors
        ExplicitEuler(const operator_type& L,
                      const std::vector<boost::shared_ptr<bc_type> >& bcs)
        : MixedScheme<Operator>(L, 0.0, bcs) {}
    };

}


#endif

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