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/*
Copyright (C) 2019 Klaus Spanderen
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
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.
*/
#ifndef quantlib_ode_i
#define quantlib_ode_i
%include common.i
%include functions.i
#if defined(SWIGJAVA) || defined(SWIGCSHARP)
%{
class OdeFctDelegate {
public:
virtual ~OdeFctDelegate() {}
virtual std::vector<Real> value(
Real x, const std::vector<Real>& y) const {
QL_FAIL("implementation of OdeFctDelegate.value is missing");
}
};
class OdeFct {
public:
OdeFct(OdeFctDelegate* delegate)
: delegate_(delegate) { }
virtual ~OdeFct() { }
const std::vector<Real> operator()(Real x, const std::vector<Real>& y) const {
std::vector<Real> retVal = delegate_->value(x, y);
return retVal;
}
private:
OdeFctDelegate* delegate_;
};
%}
%feature("director") OdeFctDelegate;
class OdeFctDelegate {
public:
virtual ~OdeFctDelegate();
virtual std::vector<Real> value(Real x, const std::vector<Real>& y) const;
};
#elif defined(SWIGPYTHON)
%{
class OdeFct {
public:
OdeFct(PyObject* function)
: function_(PyPtr::fromBorrowed(function)) {}
const std::vector<Real> operator()(Real x, const std::vector<Real>& y) const {
auto pyY = PyPtr::fromResult(PyList_New(y.size()), "failed to convert arguments");
for (Size i=0; i < y.size(); ++i)
PyList_SetItem(pyY.get(), i, PyFloat_FromDouble(y[i]));
auto pyResult = PyPtr::fromResult(
PyObject_CallFunction(function_.get(), "dO", x, pyY.get()),
"failed to call Python function");
QL_ENSURE(
PyList_Check(pyResult.get()) && PyList_Size(pyResult.get()) == y.size(),
"Python function did not return a list of correct size");
std::vector<Real> retVal(y.size());
for (Size i=0; i < y.size(); ++i)
retVal[i] = PyFloat_AsDouble(PyList_GetItem(pyResult.get(), i));
return retVal;
}
private:
PyPtr function_;
};
%}
#endif
%{
using QuantLib::AdaptiveRungeKutta;
%}
template <class T = Real>
class AdaptiveRungeKutta {
public:
AdaptiveRungeKutta(const Real eps=1.0e-6,
const Real h1=1.0e-4,
const Real hmin=0.0);
%extend {
#if defined(SWIGPYTHON)
T operator()(PyObject* fct, T y1, Real x1, Real x2) {
BinaryFunction f(fct);
return self->operator()(f, y1, x1, x2);
}
std::vector<T> operator()(
PyObject* fct, const std::vector<T>& y1, Real x1, Real x2) {
OdeFct f(fct);
return self->operator()(f, y1, x1, x2);
}
#elif defined(SWIGJAVA) || defined(SWIGCSHARP)
T operator()(BinaryFunctionDelegate* fct, T y1, Real x1, Real x2) {
BinaryFunction f(fct);
return self->operator()(f, y1, x1, x2);
}
std::vector<T> operator()(
OdeFctDelegate* fct, const std::vector<T>& y1, Real x1, Real x2) {
OdeFct f(fct);
return self->operator()(f, y1, x1, x2);
}
#endif
}
};
%template(RungeKutta) AdaptiveRungeKutta<Real>;
#endif
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