public Fdm1DimSolver(FdmSolverDesc solverDesc,
FdmSchemeDesc schemeDesc,
FdmLinearOpComposite op)
{
solverDesc_ = solverDesc;
schemeDesc_ = schemeDesc;
op_ = op;
thetaCondition_ = new FdmSnapshotCondition(
0.99 * Math.Min(1.0 / 365.0,
solverDesc.condition.stoppingTimes().empty()
? solverDesc.maturity
: solverDesc.condition.stoppingTimes().First()));
conditions_ = FdmStepConditionComposite.joinConditions(thetaCondition_,
solverDesc.condition);
x_ = new InitializedList <double>(solverDesc.mesher.layout().size());
initialValues_ = new InitializedList <double>(solverDesc.mesher.layout().size());
resultValues_ = new Vector(solverDesc.mesher.layout().size());
FdmMesher mesher = solverDesc.mesher;
FdmLinearOpLayout layout = mesher.layout();
FdmLinearOpIterator endIter = layout.end();
for (FdmLinearOpIterator iter = layout.begin(); iter != endIter;
++iter)
{
initialValues_[iter.index()]
= solverDesc_.calculator.avgInnerValue(iter,
solverDesc.maturity);
x_[iter.index()] = mesher.location(iter, 0);
}
}
public ExplicitEulerScheme(FdmLinearOpComposite map,
List <BoundaryCondition <FdmLinearOp> > bcSet = null)
{
dt_ = null;
map_ = map;
bcSet_ = new BoundaryConditionSchemeHelper(bcSet);
}
public DouglasScheme(double theta,
FdmLinearOpComposite map,
List <BoundaryCondition <FdmLinearOp> > bcSet = null)
{
dt_ = null;
theta_ = theta;
map_ = map;
bcSet_ = new BoundaryConditionSchemeHelper(bcSet);
}
public ModifiedCraigSneydScheme(double theta, double mu,
FdmLinearOpComposite map,
List <BoundaryCondition <FdmLinearOp> > bcSet = null)
{
dt_ = null;
theta_ = theta;
mu_ = mu;
map_ = map;
bcSet_ = new BoundaryConditionSchemeHelper(bcSet);
}
public FdmBackwardSolver(FdmLinearOpComposite map,
FdmBoundaryConditionSet bcSet,
FdmStepConditionComposite condition,
FdmSchemeDesc schemeDesc)
{
map_ = map;
bcSet_ = bcSet;
condition_ = condition;
schemeDesc_ = schemeDesc;
}
public MethodOfLinesScheme(double eps,
double relInitStepSize,
FdmLinearOpComposite map,
List <BoundaryCondition <FdmLinearOp> > bcSet = null)
{
dt_ = null;
eps_ = eps;
relInitStepSize_ = relInitStepSize;
map_ = map;
bcSet_ = new BoundaryConditionSchemeHelper(bcSet);
}
public CrankNicolsonScheme(double theta,
FdmLinearOpComposite map,
List <BoundaryCondition <FdmLinearOp> > bcSet = null,
double relTol = 1E-8,
ImplicitEulerScheme.SolverType solverType = ImplicitEulerScheme.SolverType.BiCGstab)
{
dt_ = null;
theta_ = theta;
explicit_ = new ExplicitEulerScheme(map, bcSet);
implicit_ = new ImplicitEulerScheme(map, bcSet, relTol, solverType);
}
public ImplicitEulerScheme(FdmLinearOpComposite map,
List <BoundaryCondition <FdmLinearOp> > bcSet,
double relTol = 1e-8,
SolverType solverType = SolverType.BiCGstab)
{
dt_ = null;
iterations_ = 0;
relTol_ = relTol;
map_ = map;
bcSet_ = new BoundaryConditionSchemeHelper(bcSet);
solverType_ = solverType;
}
public TrBDF2Scheme(double alpha,
FdmLinearOpComposite map,
TrapezoidalScheme trapezoidalScheme,
List <BoundaryCondition <FdmLinearOp> > bcSet = null,
double relTol = 1E-8,
TrBDF2Scheme <TrapezoidalScheme> .SolverType solverType = TrBDF2Scheme <TrapezoidalScheme> .SolverType.BiCGstab)
{
dt_ = null;
beta_ = null;
iterations_ = 0;
alpha_ = alpha;
map_ = map;
trapezoidalScheme_ = trapezoidalScheme;
bcSet_ = new BoundaryConditionSchemeHelper(bcSet);
relTol_ = relTol;
solverType_ = solverType;
}