text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2008 Andreas Gaida
   Copyright (C) 2008 Ralph Schreyer
   Copyright (C) 2008 Klaus Spanderen
  
   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
   <quantlib-dev@lists.sf.net>. The license is also available online at
   <http://quantlib.org/license.shtml>.
  
   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 <ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp>
  
  namespace QuantLib {
  
      HundsdorferScheme::HundsdorferScheme(
          Real theta, Real mu,
          const ext::shared_ptr<FdmLinearOpComposite> & map,
          const bc_set& bcSet)
      : dt_(Null<Real>()),
        theta_(theta),
        mu_   (mu),
        map_  (map),
        bcSet_(bcSet) {
      }
  
      void HundsdorferScheme::step(array_type& a, Time t) {
          QL_REQUIRE(t-dt_ > -1e-8, "a step towards negative time given");
  
          map_->setTime(std::max(0.0, t-dt_), t);
          bcSet_.setTime(std::max(0.0, t-dt_));
  
          bcSet_.applyBeforeApplying(*map_);
          Array y = a + dt_*map_->apply(a);
          bcSet_.applyAfterApplying(y);
  
          Array y0 = y;
  
          for (Size i=0; i < map_->size(); ++i) {
              Array rhs = y - theta_*dt_*map_->apply_direction(i, a);
              y = map_->solve_splitting(i, rhs, -theta_*dt_);
          }
  
          bcSet_.applyBeforeApplying(*map_);
          Array yt = y0 + mu_*dt_*map_->apply(y-a);
          bcSet_.applyAfterApplying(yt);
  
          for (Size i=0; i < map_->size(); ++i) {
              Array rhs = yt - theta_*dt_*map_->apply_direction(i, y);
              yt = map_->solve_splitting(i, rhs, -theta_*dt_);
          }
          bcSet_.applyAfterSolving(yt);
  
          a = yt;
      }
  
      void HundsdorferScheme::setStep(Time dt) {
          dt_=dt;
      }
  }
  