Real Fdm2DimSolver::thetaAt(Real x, Real y) const {
QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
"stopping time at zero-> can't calculate theta");
calculate();
Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
const Array& rhs = thetaCondition_->getValues();
std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
return (BicubicSpline(x_.begin(), x_.end(), y_.begin(), y_.end(),
thetaValues)(x, y) - interpolateAt(x, y))
/ thetaCondition_->getTime();
}
template <Size N> inline
Real FdmNdimSolver<N>::thetaAt(const std::vector<Real>& x) const {
QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
"stopping time at zero-> can't calculate theta");
calculate();
const Array& rhs = thetaCondition_->getValues();
const boost::shared_ptr<FdmLinearOpLayout> layout
= solverDesc_.mesher->layout();
data_table f(x_);
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
setValue(f, iter.coordinates(), rhs[iter.index()]);
}
return (MultiCubicSpline<N>(x_, f)(x)
- interpolateAt(x)) / thetaCondition_->getTime();
}
Real Fdm3DimSolver::thetaAt(Real x, Real y, Rate z) const {
QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
"stopping time at zero-> can't calculate theta");
calculate();
const Array& rhs = thetaCondition_->getValues();
std::vector<Matrix> thetaValues(z_.size(), Matrix(y_.size(),x_.size()));
for (Size i=0; i < z_.size(); ++i) {
std::copy(rhs.begin()+i *y_.size()*x_.size(),
rhs.begin()+(i+1)*y_.size()*x_.size(),
thetaValues[i].begin());
}
Array zArray(z_.size());
for (Size i=0; i < z_.size(); ++i) {
zArray[i] = BicubicSpline(x_.begin(),x_.end(),
y_.begin(),y_.end(), thetaValues[i])(x,y);
}
return (MonotonicCubicNaturalSpline(z_.begin(), z_.end(),
zArray.begin())(z)
- interpolateAt(x, y, z)) / thetaCondition_->getTime();
}
