Posted by
Peter Caspers-2 on
Apr 22, 2012; 5:27pm
URL: http://quantlib.414.s1.nabble.com/fd-questions-ctd-tp12480.html
Hi,
may I ask one more question please:
4. it seems there is only a Dirichlet boundary condition implemented
in the multi dimensional context. I want a Neumann condition and I
think I managed to implement a version, but the boundary conditions
are hardcoded as FdmDirichletBoundary in many classes, even the
typedef for the FdmBoundaryConditionSet is
vector<shared_ptr<FdmDirichletBoundary>>. Am I missing
something here? How else would I be supposed to add new boundary
conditions?
As for 1. below I extended the concentrating mesher by a flag that
allows the central point to be forced into the mesh (using a
piecewise linear transformation of the generating uniform grid, see
e.g. Iain Clarke, FX Option Pricing, ch. ...). To set up non uniform
grids with more than one concentrating point I added the
glued1dmesher. If you consider these contributions useful, please
add them to the library.
2 and 3 have obvious workarounds (rewriting the pde as backward and
doing the time steps manually one by one). Still the implementation
of forward operators becomes less readable by this implicit (yet
trivial) transformation and possibly it may be useful in general to
have a non uniform time grid in the solvers, e.g. via a
transformation [0,1] -> [0,1], u -> pow(u,alpha), alpha > 0
and a linear one [0,1] -> [0,T] (cf. same reference as above). If
considered useful, I'd be happy to do these extensions to the
FdmBackwardSolver class.
Regards
Peter
-------- Original-Nachricht --------
Hi,
I just started to use the ql 1.1 / finitedifferences framework and have
a couple of (probably very basic) questions:
1. Is there a way to specify a or even several mandatory point(s) in the
meshers?
2. Can I use a non uniform time grid in the solver?
3. Is there a forward solver ?
Thank you
Peter
------------------------------------------------------------------------------
For Developers, A Lot Can Happen In A Second.
Boundary is the first to Know...and Tell You.
Monitor Your Applications in Ultra-Fine Resolution. Try it FREE!
http://p.sf.net/sfu/Boundary-d2dvs2
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
------------------------------------------------------------------------------
For Developers, A Lot Can Happen In A Second.
Boundary is the first to Know...and Tell You.
Monitor Your Applications in Ultra-Fine Resolution. Try it FREE!
http://p.sf.net/sfu/Boundary-d2dvs2_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev