QuantLib_NeumannBC (3) - Linux Manuals

QuantLib_NeumannBC: Neumann boundary condition (i.e., constant derivative).

NAME

QuantLib::NeumannBC - Neumann boundary condition (i.e., constant derivative).

SYNOPSIS

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

Inherits BoundaryCondition< TridiagonalOperator >.

Public Member Functions

NeumannBC (Real value, Side side)

void applyBeforeApplying (TridiagonalOperator &) const

void applyAfterApplying (Array &) const

void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const

void applyAfterSolving (Array &) const

void setTime (Time)

Detailed Description

Neumann boundary condition (i.e., constant derivative).

Warning

The value passed must not be the value of the derivative. Instead, it must be comprehensive of the grid step between the first two points--i.e., it must be the difference between f[0] and f[1].

Possible enhancements

generalize to time-dependent conditions.

Member Function Documentation

void applyBeforeApplying (TridiagonalOperator &) const [virtual]

This method modifies an operator $ L $ before it is applied to an array $ u $ so that $ v = Lu $ will satisfy the given condition.

Implements BoundaryCondition< TridiagonalOperator >.

void applyAfterApplying (Array &) const [virtual]

This method modifies an array $ u $ so that it satisfies the given condition.

Implements BoundaryCondition< TridiagonalOperator >.

void applyBeforeSolving (TridiagonalOperator &, Array & rhs) const [virtual]

This method modifies an operator $ L $ before the linear system $ Lu' = u $ is solved so that $ u' $ will satisfy the given condition.

Implements BoundaryCondition< TridiagonalOperator >.

void applyAfterSolving (Array &) const [virtual]

This method modifies an array $ u $ so that it satisfies the given condition.

Implements BoundaryCondition< TridiagonalOperator >.

void setTime (Time t) [virtual]

This method sets the current time for time-dependent boundary conditions.

Implements BoundaryCondition< TridiagonalOperator >.

Author

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