#include "xf_fintech/fd_solver.hpp"
template < typename DT, unsigned int MEM_WIDTH, unsigned int INDEX_WIDTH, unsigned int A_SIZE, unsigned int M_SIZE, unsigned int LOG2_M_SIZE, unsigned int DIM2_SIZE1, unsigned int DIM2_SIZE2 > void FdDouglas ( DT A [A_SIZE], unsigned int Ar [A_SIZE], unsigned int Ac [A_SIZE], unsigned int Annz, DT A1 [M_SIZE][DIM2_SIZE1], DT A2 [M_SIZE][DIM2_SIZE2], DT X1 [M_SIZE][DIM2_SIZE1], DT X2 [M_SIZE][DIM2_SIZE2], DT b [M_SIZE], DT u0 [M_SIZE], unsigned int M1, unsigned int M2, unsigned int N, DT u [M_SIZE] )
Top level callable function to perform the Douglas ADI method.
This function creates the solver/stream wrapper objects and connects them up It also provides the extra connectivity for the non-streaming blocks
Parameters:
| A | Sparse matrix value |
| Ar | Sparse matrix row |
| Ac | Sparse matrix column |
| Annz | Number of non-zeros in sparse matrix (how many elements of A/Ar/Ac are valid) |
| A1 | Tridiagonal matrix stored as three vectors lower/main/upper |
| A2 | Pentadiagonal matrix stored as five vectors lower/lower/main/upper/upper |
| X1 | Tridiagonal matrix stored as three vectors lower/main/upper |
| X2 | Pentadiagonal matrix stored as five vectors lower/lower/main/upper/upper |
| b | Boundary condition vector |
| u0 | Initial condition (payoff condition for a call option) |
| M1 | Size of array [0..M1] in S direction |
| M2 | Size of array [0..M2] in V direction |
| N | Iteration count |
| u | Calculated price grid |