transport.m

Matlab codes for financial models

% transport.m
function [solution, N, M] = transport(xmin, dx, xmax, dt, tmax, c, f0)
N = ceil((xmax - xmin) / dx);
xmax = xmin + N*dx;
M = ceil(tmax/dt);
k1 = 1 - dt*c/dx;
k2 = dt*c/dx;
solution = zeros(N+1,M+1);
vetx = xmin:dx:xmax;
for i=1:N+1
   solution(i,1) = feval(f0,vetx(i));
end
fixedvalue = solution(1,1);
% this is needed because of finite domain 
for j=1:M
   solution(:,j+1) = k1*solution(:,j) + k2*[ fixedvalue ; solution(1:N,j) ];
end