1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
|
/*
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 1.7 2002/01/16 14:51:31 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 {
void crash() {}
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;
}
};
%{
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 {
void crash() {}
TridiagonalIdentity(int gridPoints) {
TridiagonalOperator* I = new TridiagonalOperator(gridPoints);
I->setFirstRow(1.0,0.0);
I->setMidRows(0.0,1.0,0.0);
I->setLastRow(0.0,1.0);
return I;
}
}
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);
#endif
|
