Package org.drip.fdm.definition

Class SecondOrder1DPDE

java.lang.Object
org.drip.fdm.definition.SecondOrder1DPDE
Direct Known Subclasses:
Diffusion1DPDE
public class SecondOrder1DPDE
extends java.lang.Object
SecondOrder1DPDE implements the Evolution of R1 State Factor Space Response using a Second Order PDE. The References are:

  • Datta, B. N. (2010): Numerical Linear Algebra and Applications 2nd Edition SIAM Philadelphia, PA
  • Cebeci, T. (2002): Convective Heat Transfer Horizon Publishing Hammond, IN
  • Crank, J., and P. Nicolson (1947): A Practical Method for Numerical Evaluation of Solutions of Partial Differential Equations of the Heat Conduction Type Proceedings of the Cambridge Philosophical Society 43 (1) 50-67
  • Thomas, J. W. (1995): Numerical Partial Differential Equations: Finite Difference Methods Springer-Verlag Berlin, Germany
  • Wikipedia (2023): Alternating-direction implicit method https://en.wikipedia.org/wiki/Alternating-direction_implicit_method
  • Wikipedia (2024): Crank–Nicolson method https://en.wikipedia.org/wiki/Crank%E2%80%93Nicolson_method




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    SecondOrder1DPDE​(R1ToR1 stateResponseFunction, RdToR1 stateResponseEvolutionFunction)
    SecondOrder1DPDE Constructor

  • Method Summary

    Modifier and Type Method Description
    RdToR1 stateResponseEvolutionFunction()
    Retrieve the Rd to R1 State Response Evolution Function
    R1ToR1 stateResponseFunction()
    Retrieve the R1 to R1 State Response Function
    double timeDifferential​(double time, double factor)
    Compute the State Response Increment at the factor value and the time

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • SecondOrder1DPDE

      public SecondOrder1DPDE​(R1ToR1 stateResponseFunction, RdToR1 stateResponseEvolutionFunction) throws java.lang.Exception
      SecondOrder1DPDE Constructor
      Parameters:
      stateResponseFunction - R1 to R1 State Response Function
      stateResponseEvolutionFunction - Rd to R1 State Response Evolution Function
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • stateResponseFunction

      public R1ToR1 stateResponseFunction()
      Retrieve the R1 to R1 State Response Function
      Returns:
      R1 to R1 State Response Function

    • stateResponseEvolutionFunction

      public RdToR1 stateResponseEvolutionFunction()
      Retrieve the Rd to R1 State Response Evolution Function
      Returns:
      Rd to R1 State Response Evolution Function

    • timeDifferential

      public double timeDifferential​(double time, double factor) throws java.lang.Exception
      Compute the State Response Increment at the factor value and the time
      Parameters:
      time - Time
      factor - Factor Space Value
      Returns:
      State Response Increment
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid