Everyone that has picked up a fragment of metal from ordnance that has just been blown up has found it to be searing hot. One reason that this happens is that the gases produced by the explosive reaction are very hot, which is certainly true, but it is not the main reason that frag gets very hot. In fact, there is another mechanism which heats it up so much that it can melt or even vaporise metal: shock heating.
Shock heating occurs because a shock wave compresses a material near instantaneously but it relaxes more gradually. This means that more energy gets put into it during the compression of the shock than is released as the material decompresses.
The nerdy bit is pictured in the figure below for a relatively simple model of a shock wave travelling through aluminium. The material is excited along the red line (Raleigh line) by the shock wave. The straight path between the initial and shock states is a result of the shock wave being a discontinuity. The material does not actually follow the Raleigh line in the sense that it does not exist in the intermediate states, it jumps from the start to the end.
The material then relieves the compression from the shock state along the physically allowable Hugoniot curve (pictured in blue). The area under the curve for the Raleigh line represents the energy increase, and the energy under the Hugoniot represents the energy decrease. Which means that between the two there is still some energy left in the material.

I chose to show this with aluminium but any material can be used. On the right hand side of the figure in the annotation is how much more energy is contained in the aluminium after the shock wave, leading to a temperature \(T_{1}\) from a baseline of 300 K. Now in the real world, that would not happen, because aluminium has a melting temperature of 933 K, which means that the aluminium would have melted before it was heated to above 2000 K.
Iron has a melting point around 1800 K, but because of its specific heat it would not actually heat up as much as aluminium. As a side note, this is why aluminium cookware heats up faster but does not stay as hot when you put cold food into it as cast iron. The figure below shows the same shock wave but for iron.

The material properties of iron and aluminium have been estimated for the sake of showing the different heating effects of a shock wave depending on the material, you should not take the temperature changes as definitive. That being said, it clearly shows just how much of the heating effect is a result of shock heating rather than thermal contact with hot gases.
The other takeaway is that the kinds of materials we are often dealing with in explosive ordnance have melting points and even sometimes vaporisation temperatures that are within the same kinds of magnitudes as the shock heating temperatures. If instead of a plain RDX charge against a material we have some clever charge designs, like a shape charge or a wave shaper, we are likely to see some large phase change effects.
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