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 static FdmStepConditionComposite joinConditions(FdmSnapshotCondition c1,
FdmStepConditionComposite c2)
{
List <List <double> > stoppingTimes = new List <List <double> >();
stoppingTimes.Add(c2.stoppingTimes());
stoppingTimes.Add(new InitializedList <double>(1, c1.getTime()));
List <IStepCondition <Vector> > conditions = new List <IStepCondition <Vector> >();
conditions.Add(c2);
conditions.Add(c1);
return(new FdmStepConditionComposite(stoppingTimes, conditions));
}
