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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005 StatPro Italia srl
Copyright (C) 2005 Dominic Thuillier
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_linear_algebra_i
#define quantlib_linear_algebra_i
%include common.i
%include types.i
%include stl.i
%{
using QuantLib::Array;
using QuantLib::Matrix;
%}
%define QL_TYPECHECK_ARRAY 4210 %enddef
%define QL_TYPECHECK_MATRIX 4220 %enddef
#if defined(SWIGPYTHON)
%{
bool ArrayFromSequence(PyObject* source, Array* target) {
if (PyTuple_Check(source) || PyList_Check(source)) {
Size size = (PyTuple_Check(source) ?
PyTuple_Size(source) :
PyList_Size(source));
*target = Array(size);
for (Size i=0; i<size; i++) {
PyObject* o = PySequence_GetItem(source,i);
if (PyFloat_Check(o)) {
(*target)[i] = PyFloat_AsDouble(o);
Py_DECREF(o);
} else if (PyLong_Check(o)) {
(*target)[i] = PyLong_AsDouble(o);
Py_DECREF(o);
} else {
Py_DECREF(o);
return false;
}
}
return true;
} else {
return false;
}
}
%}
%typemap(in) Array (Array* v, void *argp, int res = 0) {
if (ArrayFromSequence($input,&$1)) {
;
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
res = SWIG_ConvertPtr($input, &argp, $&descriptor, %convertptr_flags);
if (!SWIG_IsOK(res)) {
%argument_fail(res, "$type", $symname, $argnum);
}
if (!argp) {
%argument_nullref("$type", $symname, $argnum);
} else {
$1 = *(%reinterpret_cast(argp, $<ype));
}
}
};
%typemap(in) const Array& (Array temp, void *argp = 0, int res = 0) {
if (ArrayFromSequence($input,&temp)) {
$1 = &temp;
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
res = SWIG_ConvertPtr($input, &argp, $descriptor, %convertptr_flags);
if (!SWIG_IsOK(res)) {
%argument_fail(res, "$type", $symname, $argnum);
}
if (!argp) { %argument_nullref("$type", $symname, $argnum); }
$1 = %reinterpret_cast(argp, $ltype);
}
};
%typecheck(QL_TYPECHECK_ARRAY) Array {
/* native sequence? */
if (PyTuple_Check($input) || PyList_Check($input)) {
Size size = PySequence_Size($input);
if (size == 0) {
$1 = 1;
} else {
PyObject* o = PySequence_GetItem($input,0);
if (PyNumber_Check(o))
$1 = 1;
else
$1 = 0;
Py_DECREF(o);
}
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
void *vptr = 0;
int res = SWIG_ConvertPtr($input, &vptr, $&descriptor, SWIG_POINTER_NO_NULL);
$1 = SWIG_CheckState(res);
}
}
%typecheck(QL_TYPECHECK_ARRAY) const Array & {
/* native sequence? */
if (PyTuple_Check($input) || PyList_Check($input)) {
Size size = PySequence_Size($input);
if (size == 0) {
$1 = 1;
} else {
PyObject* o = PySequence_GetItem($input,0);
if (PyNumber_Check(o))
$1 = 1;
else
$1 = 0;
Py_DECREF(o);
}
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
void *vptr = 0;
int res = SWIG_ConvertPtr($input, &vptr, $descriptor, SWIG_POINTER_NO_NULL);
$1 = SWIG_CheckState(res);
}
}
%typemap(in) Matrix (Matrix* m, void *argp, int res = 0) {
if (PyTuple_Check($input) || PyList_Check($input)) {
Size rows, cols;
rows = (PyTuple_Check($input) ?
PyTuple_Size($input) :
PyList_Size($input));
if (rows > 0) {
// look ahead
PyObject* o = PySequence_GetItem($input,0);
if (PyTuple_Check(o) || PyList_Check(o)) {
cols = (PyTuple_Check(o) ?
PyTuple_Size(o) :
PyList_Size(o));
Py_DECREF(o);
} else {
PyErr_SetString(PyExc_TypeError, "Matrix expected");
Py_DECREF(o);
SWIG_fail;
}
} else {
cols = 0;
}
$1 = Matrix(rows,cols);
for (Size i=0; i<rows; i++) {
PyObject* o = PySequence_GetItem($input,i);
if (PyTuple_Check(o) || PyList_Check(o)) {
Size items = (PyTuple_Check(o) ?
PyTuple_Size(o) :
PyList_Size(o));
if (items != cols) {
PyErr_SetString(PyExc_TypeError,
"Matrix must have equal-length rows");
Py_DECREF(o);
SWIG_fail;
}
for (Size j=0; j<cols; j++) {
PyObject* d = PySequence_GetItem(o,j);
if (PyFloat_Check(d)) {
$1[i][j] = PyFloat_AsDouble(d);
Py_DECREF(d);
} else if (PyLong_Check(d)) {
$1[i][j] = PyLong_AsDouble(d);
Py_DECREF(d);
} else {
PyErr_SetString(PyExc_TypeError,"doubles expected");
Py_DECREF(d);
Py_DECREF(o);
SWIG_fail;
}
}
Py_DECREF(o);
} else {
PyErr_SetString(PyExc_TypeError, "Matrix expected");
Py_DECREF(o);
SWIG_fail;
}
}
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
res = SWIG_ConvertPtr($input, &argp, $&descriptor, %convertptr_flags);
if (!SWIG_IsOK(res)) {
%argument_fail(res, "$type", $symname, $argnum);
}
if (!argp) {
%argument_nullref("$type", $symname, $argnum);
} else {
$1 = *(%reinterpret_cast(argp, $<ype));
}
}
};
%typemap(in) const Matrix & (Matrix temp, void *argp = 0, int res = 0) {
if (PyTuple_Check($input) || PyList_Check($input)) {
Size rows, cols;
rows = (PyTuple_Check($input) ?
PyTuple_Size($input) :
PyList_Size($input));
if (rows > 0) {
// look ahead
PyObject* o = PySequence_GetItem($input,0);
if (PyTuple_Check(o) || PyList_Check(o)) {
cols = (PyTuple_Check(o) ?
PyTuple_Size(o) :
PyList_Size(o));
Py_DECREF(o);
} else {
PyErr_SetString(PyExc_TypeError, "Matrix expected");
Py_DECREF(o);
SWIG_fail;
}
} else {
cols = 0;
}
temp = Matrix(rows,cols);
for (Size i=0; i<rows; i++) {
PyObject* o = PySequence_GetItem($input,i);
if (PyTuple_Check(o) || PyList_Check(o)) {
Size items = (PyTuple_Check(o) ?
PyTuple_Size(o) :
PyList_Size(o));
if (items != cols) {
PyErr_SetString(PyExc_TypeError,
"Matrix must have equal-length rows");
Py_DECREF(o);
SWIG_fail;
}
for (Size j=0; j<cols; j++) {
PyObject* d = PySequence_GetItem(o,j);
if (PyFloat_Check(d)) {
temp[i][j] = PyFloat_AsDouble(d);
Py_DECREF(d);
} else if (PyLong_Check(d)) {
temp[i][j] = PyLong_AsDouble(d);
Py_DECREF(d);
} else {
PyErr_SetString(PyExc_TypeError,"doubles expected");
Py_DECREF(d);
Py_DECREF(o);
SWIG_fail;
}
}
Py_DECREF(o);
} else {
PyErr_SetString(PyExc_TypeError, "Matrix expected");
Py_DECREF(o);
SWIG_fail;
}
}
$1 = &temp;
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
res = SWIG_ConvertPtr($input, &argp, $descriptor, %convertptr_flags);
if (!SWIG_IsOK(res)) {
%argument_fail(res, "$type", $symname, $argnum);
}
if (!argp) { %argument_nullref("$type", $symname, $argnum); }
$1 = %reinterpret_cast(argp, $ltype);
}
};
%typecheck(QL_TYPECHECK_MATRIX) Matrix {
/* native sequence? */
if (PyTuple_Check($input) || PyList_Check($input)) {
$1 = 1;
/* wrapped Matrix? */
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
void *vptr = 0;
int res = SWIG_ConvertPtr($input, &vptr, $&descriptor, SWIG_POINTER_NO_NULL);
$1 = SWIG_CheckState(res);
}
}
%typecheck(QL_TYPECHECK_MATRIX) const Matrix & {
/* native sequence? */
if (PyTuple_Check($input) || PyList_Check($input)) {
$1 = 1;
/* wrapped Matrix? */
} else {
// copied from SWIGTYPE typemap -- might need updating for newer SWIG
void *vptr = 0;
int res = SWIG_ConvertPtr($input, &vptr, $descriptor, SWIG_POINTER_NO_NULL);
$1 = SWIG_CheckState(res);
}
}
#endif
#if defined(SWIGR)
swigr_list_converter(Array,_p_Array,numeric)
%Rruntime %{
setMethod('print', '_p_Matrix',
function(x) print(as.matrix(x)))
setMethod("as.matrix", "_p_Matrix",
function(x) matrix(data=as.numeric(x$dataVector),
nrow=x$rows(), ncol=x$columns()))
%}
#endif
#if defined(SWIGCSHARP)
%rename(QlArray) Array;
#endif
class Array {
#if defined(SWIGPYTHON)
%rename(__len__) size;
#endif
public:
Array();
Array(Size n, Real fill = 0.0);
Array(const Array&);
Size size() const;
%extend {
std::string __str__() {
std::ostringstream out;
out << *self;
return out.str();
}
#if defined(SWIGPYTHON) || defined(SWIGJAVA)
bool operator==(const Array& other) {
return (*self) == other;
}
bool operator!=(const Array& other) {
return (*self) != other;
}
#endif
#if defined(SWIGPYTHON) || defined(SWIGR)
Array operator-() {
return -*self;
}
Array operator+(Real a) {
return *self+a;
}
Array operator+(const Array& a) {
return *self+a;
}
Array operator-(Real a) {
return *self-a;
}
Array operator-(const Array& a) {
return *self-a;
}
Array operator*(Real a) {
return *self*a;
}
Array operator*(const Array& a) {
return *self*a;
}
Array operator*(const Matrix& a) {
return *self*a;
}
Array operator/(Real a) {
return *self/a;
}
Array operator/(const Array& a) {
return *self/a;
}
#endif
#if defined(SWIGPYTHON)
Array __rmul__(Real a) {
return Array(*self*a);
}
Real __matmul__(const Array& a) {
return QuantLib::DotProduct(*self,a);
}
Array __getslice__(Integer i, Integer j) {
Integer size_ = static_cast<Integer>(self->size());
if (i<0)
i = size_+i;
if (j<0)
j = size_+j;
i = std::max(0,i);
j = std::min(size_,j);
Array tmp(j-i);
std::copy(self->begin()+i,self->begin()+j,tmp.begin());
return tmp;
}
void __setslice__(Integer i, Integer j, const Array& rhs) {
Integer size_ = static_cast<Integer>(self->size());
if (i<0)
i = size_+i;
if (j<0)
j = size_+j;
i = std::max(0,i);
j = std::min(size_,j);
QL_ENSURE(static_cast<Integer>(rhs.size()) == j-i,
"arrays are not resizable");
std::copy(rhs.begin(),rhs.end(),self->begin()+i);
}
bool __bool__() {
return (self->size() != 0);
}
Real __getitem__(Integer i) {
Integer size_ = static_cast<Integer>(self->size());
if (i>=0 && i<size_) {
return (*self)[i];
} else if (i<0 && -i<=size_) {
return (*self)[size_+i];
} else {
throw std::out_of_range("array index out of range");
}
}
void __setitem__(Integer i, Real x) {
Integer size_ = static_cast<Integer>(self->size());
if (i>=0 && i<size_) {
(*self)[i] = x;
} else if (i<0 && -i<=size_) {
(*self)[size_+i] = x;
} else {
throw std::out_of_range("array index out of range");
}
}
#elif defined(SWIGR)
Real __getitem__(Integer i) {
Integer size_ = static_cast<Integer>(self->size());
if (i>=0 && i<size_) {
return (*self)[i];
} else {
throw std::out_of_range("array index out of range");
}
}
void __setitem__(Integer i, Real x) {
Integer size_ = static_cast<Integer>(self->size());
if (i>=0 && i<size_) {
(*self)[i] = x;
} else {
throw std::out_of_range("array index out of range");
}
}
#elif defined(SWIGCSHARP) || defined(SWIGJAVA)
Real get(Size i) {
if (i<self->size())
return (*self)[i];
else
throw std::out_of_range("array index out of range");
}
void set(Size i, Real x) {
if (i<self->size())
(*self)[i] = x;
else
throw std::out_of_range("array index out of range");
}
#endif
}
};
// matrix class
%{
using QuantLib::outerProduct;
using QuantLib::transpose;
using QuantLib::SVD;
%}
#if defined(SWIGPYTHON)
%{
class MatrixRow {
Matrix::row_iterator begin_;
Integer columns_;
public:
MatrixRow(Matrix::row_iterator begin, Size columns) : begin_(begin), columns_((Integer)columns) {}
Real __getitem__(Integer i) {
if (i >= 0 && i < columns_)
return begin_[i];
else if (i < 0 && -i <= columns_)
return begin_[columns_+i];
else
throw std::out_of_range("matrix indexes out of range");
}
void __setitem__(Integer i, Real x) {
if (i >= 0 && i < columns_)
begin_[i] = x;
else if (i < 0 && -i <= columns_)
begin_[columns_+i] = x;
else
throw std::out_of_range("matrix indexes out of range");
}
};
%}
class MatrixRow {
MatrixRow();
public:
Real __getitem__(Integer i);
void __setitem__(Integer i, Real x);
};
#endif
class Matrix {
public:
Matrix();
Matrix(Size rows, Size columns, Real fill = 0.0);
Matrix(const Matrix&);
Size rows() const;
Size columns() const;
%extend {
std::string __str__() {
std::ostringstream out;
out << *self;
return out.str();
}
#if defined(SWIGPYTHON)
Matrix __add__(const Matrix& m) {
return *self+m;
}
Matrix __sub__(const Matrix& m) {
return *self-m;
}
Matrix __mul__(Real x) {
return *self*x;
}
Array __mul__(const Array& x) {
return *self*x;
}
Matrix __mul__(const Matrix& x) {
return *self*x;
}
Matrix __div__(Real x) {
return *self/x;
}
#endif
#if defined(SWIGPYTHON)
MatrixRow __getitem__(Integer i) {
Integer rows_ = static_cast<Integer>($self->rows());
if (i >= 0 && i < $self->rows())
return MatrixRow((*$self)[i], $self->columns());
else if (i < 0 && -i <= rows_)
return MatrixRow((*$self)[rows_+i], $self->columns());
else
throw std::out_of_range("matrix indexes out of range");
}
#elif defined(SWIGR)
Real ref(Size i, Size j) {
if (i < $self->rows() && j < $self->columns())
return (*self)[i][j];
else
throw std::out_of_range("matrix indexes out of range");
}
void setitem(Size i, Size j, Real x) {
if (i < $self->rows() && j < $self->columns())
(*self)[i][j] = x;
else
throw std::out_of_range("matrix indexes out of range");
}
#elif defined(SWIGCSHARP) || defined(SWIGJAVA)
Real get(Size i, Size j) {
if (i < $self->rows() && j < $self->columns())
return (*self)[i][j];
else
throw std::out_of_range("matrix indexes out of range");
}
void set(Size i, Size j, Real x) {
if (i < $self->rows() && j < $self->columns())
(*self)[i][j] = x;
else
throw std::out_of_range("matrix indexes out of range");
}
#endif
#if defined(SWIGR)
Array dataVector() {
Size nrows = self->rows();
Size ncols = self->columns();
Size nelems = nrows * ncols;
Array a(nelems);
for (int i=0; i < nrows; i++)
for (int j=0; j < ncols; j++)
a[j*nrows+i] = (*self)[i][j];
return a;
}
#endif
#if defined(SWIGPYTHON)
Matrix __rmul__(Real x) {
return x*(*self);
}
Array __rmul__(const Array& x) {
return x*(*self);
}
Matrix __rmul__(const Matrix& x) {
return x*(*self);
}
#endif
}
};
// functions
%{
using QuantLib::inverse;
using QuantLib::pseudoSqrt;
using QuantLib::SalvagingAlgorithm;
using QuantLib::CholeskyDecomposition;
using QuantLib::CholeskySolveFor;
using QuantLib::SymmetricSchurDecomposition;
%}
struct SalvagingAlgorithm {
#if defined(SWIGPYTHON)
%rename(NoAlgorithm) None;
#endif
enum Type {None, Spectral, Hypersphere, LowerDiagonal, Higham, Principal};
};
Matrix inverse(const Matrix& m);
Matrix transpose(const Matrix& m);
Matrix outerProduct(const Array& v1, const Array& v2);
Matrix pseudoSqrt(const Matrix& m, SalvagingAlgorithm::Type a);
class SVD {
public:
SVD(const Matrix&);
const Matrix& U() const;
const Matrix& V() const;
Matrix S() const;
const Array& singularValues() const;
};
Matrix CholeskyDecomposition(const Matrix& m, bool flexible = false);
Array CholeskySolveFor(const Matrix& L, const Array& b);
class SymmetricSchurDecomposition {
public:
SymmetricSchurDecomposition(const Matrix &s);
const Array& eigenvalues() const;
const Matrix& eigenvectors() const;
};
%{
using QuantLib::BiCGstab;
using QuantLib::GMRES;
%}
#if defined(SWIGPYTHON)
%{
Array extractArray(PyObject* source, const char* methodName) {
QL_ENSURE(source != NULL,
"failed to call " << methodName << " on Python object");
Array* ptr;
int err = SWIG_ConvertPtr(
source, (void**)&ptr, SWIGTYPE_p_Array, SWIG_POINTER_NO_NULL);
QL_ENSURE(SWIG_IsOK(err), methodName << " must return a QuantLib Array");
return *ptr;
}
class MatrixMultiplicationProxy {
public:
MatrixMultiplicationProxy(PyObject* matrixMult)
: matrixMult_(PyPtr::fromBorrowed(matrixMult)) {}
Array operator()(const Array& x) const {
auto pyArray = PyPtr::fromNew(SWIG_NewPointerObj(
SWIG_as_voidptr(&x), SWIGTYPE_p_Array, 0));
auto pyResult = PyPtr::fromNew(
PyObject_CallFunction(matrixMult_.get(), "O", pyArray.get()));
return extractArray(pyResult.get(), "matrix multiplication");
}
private:
PyPtr matrixMult_;
};
%}
class MatrixMultiplicationProxy {
public:
MatrixMultiplicationProxy(PyObject* matrixMult);
%extend {
Array operator()(const Array& x) const {
Array retVal = self->operator()(x);
return retVal;
}
}
};
#elif defined(SWIGJAVA) || defined(SWIGCSHARP)
%{
class MatrixMultiplicationDelegate {
public:
virtual ~MatrixMultiplicationDelegate() {}
virtual Array apply(const Array& x) const {
QL_FAIL("implementation of MatrixMultiplicationDelegate.apply is missing");
}
};
class MatrixMultiplicationProxy {
public:
MatrixMultiplicationProxy(MatrixMultiplicationDelegate* delegate)
: delegate_(delegate) {}
Array operator()(const Array& x) const {
Array retVal = delegate_->apply(x);
return retVal;
}
private:
MatrixMultiplicationDelegate* const delegate_;
};
%}
class MatrixMultiplicationDelegate {
public:
virtual ~MatrixMultiplicationDelegate();
virtual Array apply(const Array& x) const;
};
#endif
#if defined(SWIGPYTHON) || defined(SWIGJAVA) || defined(SWIGCSHARP)
%shared_ptr(BiCGstab)
class BiCGstab {
public:
%extend {
Array solve(const Array& b, const Array& x0 = Array()) const {
return self->solve(b, x0).x;
}
#if defined(SWIGPYTHON)
BiCGstab(const MatrixMultiplicationProxy& proxy, Size maxIter, Real relTol) {
return new BiCGstab(BiCGstab::MatrixMult(proxy), maxIter, relTol);
}
BiCGstab(const MatrixMultiplicationProxy& proxy, Size maxIter, Real relTol,
const MatrixMultiplicationProxy& preconditioner) {
return new BiCGstab(
BiCGstab::MatrixMult(proxy), maxIter, relTol,
BiCGstab::MatrixMult(preconditioner));
}
#else
BiCGstab(MatrixMultiplicationDelegate* delegate, Size maxIter, Real relTol) {
MatrixMultiplicationProxy proxy(delegate);
return new BiCGstab(BiCGstab::MatrixMult(proxy), maxIter, relTol);
}
BiCGstab(MatrixMultiplicationDelegate* delegate, Size maxIter, Real relTol,
MatrixMultiplicationDelegate* preconditioner) {
MatrixMultiplicationProxy p1(delegate);
MatrixMultiplicationProxy p2(preconditioner);
return new BiCGstab(
BiCGstab::MatrixMult(p1), maxIter, relTol, BiCGstab::MatrixMult(p2));
}
#endif
}
};
%shared_ptr(GMRES)
class GMRES {
public:
%extend {
Array solve(const Array& b, const Array& x0 = Array()) const {
return self->solve(b, x0).x;
}
Array solveWithRestart(
Size restart, const Array& b, const Array& x0 = Array()) const {
return self->solveWithRestart(restart, b, x0).x;
}
#if defined(SWIGPYTHON)
GMRES(const MatrixMultiplicationProxy& proxy, Size maxIter, Real relTol) {
return new GMRES(GMRES::MatrixMult(proxy), maxIter, relTol);
}
GMRES(const MatrixMultiplicationProxy& proxy, Size maxIter, Real relTol,
const MatrixMultiplicationProxy& preconditioner) {
return new GMRES(
GMRES::MatrixMult(proxy), maxIter, relTol,
GMRES::MatrixMult(preconditioner));
}
#else
GMRES(MatrixMultiplicationDelegate* delegate, Size maxIter, Real relTol) {
MatrixMultiplicationProxy proxy(delegate);
return new GMRES(GMRES::MatrixMult(proxy), maxIter, relTol);
}
GMRES(MatrixMultiplicationDelegate* delegate, Size maxIter, Real relTol,
const MatrixMultiplicationProxy& preconditioner) {
MatrixMultiplicationProxy p1(delegate);
MatrixMultiplicationProxy p2(preconditioner);
return new GMRES(
GMRES::MatrixMult(p1), maxIter, relTol, GMRES::MatrixMult(p2));
}
#endif
}
};
#endif
%{
using QuantLib::close;
using QuantLib::close_enough;
%}
bool close(Real x, Real y);
bool close(Real x, Real y, Size n);
bool close_enough(Real x, Real y);
bool close_enough(Real x, Real y, Size n);
#endif
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