com.opengamma.analytics.financial.model.finitedifference.SecondDerivativeBoundaryCondition2D.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.finitedifference.SecondDerivativeBoundaryCondition2D.java

Source

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.model.finitedifference;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.analytics.math.surface.Surface;

/**
* boundary condition, i.e. d^2u/dx^2(A,t) = f(t), where A is the boundary level, and f(t) is some specified function of time
*/
public class SecondDerivativeBoundaryCondition2D implements BoundaryCondition2D {

    private final Surface<Double, Double, Double> _f;
    private final double _level;

    public SecondDerivativeBoundaryCondition2D(final Surface<Double, Double, Double> boundarySecondDeriviative,
            double boundaryLevel) {
        Validate.notNull(boundarySecondDeriviative, "boundaryValue ");
        _f = boundarySecondDeriviative;
        _level = boundaryLevel;
    }

    public SecondDerivativeBoundaryCondition2D(final double boundarySecondDeriviative, double boundaryLevel) {
        _f = ConstantDoublesSurface.from(boundarySecondDeriviative);
        _level = boundaryLevel;
    }

    @Override
    public double getConstant(double t, double boundaryPosition, double gridSpacing) {
        return _f.getZValue(t, boundaryPosition) * gridSpacing * gridSpacing;
    }

    @Override
    public double[] getLeftMatrixCondition(double t, double boundaryPosition) {
        return new double[] { 1, -2, 1 };
    }

    @Override
    public double getLevel() {
        return _level;
    }

    @Override
    public double[] getRightMatrixCondition(double t, double boundaryPosition) {
        return new double[0];
    }

}