/* -*- 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 . The license is also available online at . 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. */ #include namespace QuantLib { NeumannBC::NeumannBC(Real value, NeumannBC::Side side) : value_(value), side_(side) {} void NeumannBC::applyBeforeApplying(TridiagonalOperator& L) const { switch (side_) { case Lower: L.setFirstRow(-1.0,1.0); break; case Upper: L.setLastRow(-1.0,1.0); break; default: QL_FAIL("unknown side for Neumann boundary condition"); } } void NeumannBC::applyAfterApplying(Array& u) const { switch (side_) { case Lower: u[0] = u[1] - value_; break; case Upper: u[u.size()-1] = u[u.size()-2] + value_; break; default: QL_FAIL("unknown side for Neumann boundary condition"); } } void NeumannBC::applyBeforeSolving(TridiagonalOperator& L, Array& rhs) const { switch (side_) { case Lower: L.setFirstRow(-1.0,1.0); rhs[0] = value_; break; case Upper: L.setLastRow(-1.0,1.0); rhs[rhs.size()-1] = value_; break; default: QL_FAIL("unknown side for Neumann boundary condition"); } } void NeumannBC::applyAfterSolving(Array&) const {} DirichletBC::DirichletBC(Real value, DirichletBC::Side side) : value_(value), side_(side) {} void DirichletBC::applyBeforeApplying(TridiagonalOperator& L) const { switch (side_) { case Lower: L.setFirstRow(1.0,0.0); break; case Upper: L.setLastRow(0.0,1.0); break; default: QL_FAIL("unknown side for Neumann boundary condition"); } } void DirichletBC::applyAfterApplying(Array& u) const { switch (side_) { case Lower: u[0] = value_; break; case Upper: u[u.size()-1] = value_; break; default: QL_FAIL("unknown side for Neumann boundary condition"); } } void DirichletBC::applyBeforeSolving(TridiagonalOperator& L, Array& rhs) const { switch (side_) { case Lower: L.setFirstRow(1.0,0.0); rhs[0] = value_; break; case Upper: L.setLastRow(0.0,1.0); rhs[rhs.size()-1] = value_; break; default: QL_FAIL("unknown side for Neumann boundary condition"); } } void DirichletBC::applyAfterSolving(Array&) const {} }