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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
// $Id: Operators.i,v 1.9 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_operators_i
#define quantlib_operators_i
%include QLArray.i
%include BoundaryConditions.i
%{
using QuantLib::FiniteDifferences::TridiagonalOperator;
%}
class TridiagonalOperator {
public:
// constructors
TridiagonalOperator(Array low, Array mid, Array high);
~TridiagonalOperator();
// operator interface
Array solveFor(const Array& rhs) const;
Array applyTo(const Array& v) const;
// inspectors
int size() const;
// modifiers
void setLowerBC(BoundaryCondition bc);
void setUpperBC(BoundaryCondition bc);
void setFirstRow(double, double);
void setMidRow(int, double, double, double);
void setMidRows(double, double, double);
void setLastRow(double, double);
};
%addmethods TridiagonalOperator {
TridiagonalOperator __add__(const TridiagonalOperator& O) {
return *self+O;
}
TridiagonalOperator __sub__(const TridiagonalOperator& O) {
return *self-O;
}
TridiagonalOperator __mul__(double a) {
return *self*a;
}
TridiagonalOperator __div__(double a) {
return *self/a;
}
TridiagonalOperator __iadd__(const TridiagonalOperator& O) {
return *self+O;
}
TridiagonalOperator __isub__(const TridiagonalOperator& O) {
return *self-O;
}
TridiagonalOperator __imul__(double a) {
return *self*a;
}
TridiagonalOperator __rmul__(double a) {
return *self*a;
}
TridiagonalOperator __idiv__(double a) {
return *self/a;
}
};
%{
typedef TridiagonalOperator TridiagonalIdentity;
using QuantLib::FiniteDifferences::DPlus;
using QuantLib::FiniteDifferences::DMinus;
using QuantLib::FiniteDifferences::DZero;
using QuantLib::FiniteDifferences::DPlusDMinus;
%}
// they are the same class, but fake inheritance to redefine the constructor
%name(Identity) class TridiagonalIdentity : public TridiagonalOperator {
public:
// constructor redefined below
~TridiagonalIdentity();
};
%addmethods TridiagonalIdentity {
TridiagonalIdentity(int gridPoints) {
return new TridiagonalOperator(
TridiagonalOperator::identity(gridPoints));
}
}
class DPlus : public TridiagonalOperator {
public:
DPlus(int gridPoints, double h);
~DPlus();
};
class DMinus : public TridiagonalOperator {
public:
DMinus(int gridPoints, double h);
~DMinus();
};
class DZero : public TridiagonalOperator {
public:
DZero(int gridPoints, double h);
~DZero();
};
class DPlusDMinus : public TridiagonalOperator {
public:
DPlusDMinus(int gridPoints, double h);
~DPlusDMinus();
};
%{
using QuantLib::FiniteDifferences::valueAtCenter;
using QuantLib::FiniteDifferences::firstDerivativeAtCenter;
using QuantLib::FiniteDifferences::secondDerivativeAtCenter;
%}
double valueAtCenter(const Array& a);
double firstDerivativeAtCenter(const Array& a, const Array& g);
double secondDerivativeAtCenter(const Array& a, const Array& g);
%{
using QuantLib::Math::SymmetricEigenvalues;
using QuantLib::Math::SymmetricEigenvectors;
%}
Array SymmetricEigenvalues(Matrix &s);
Matrix SymmetricEigenvectors(Matrix &s);
#endif
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