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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.
*/
/*! \file tridiagonaloperator.hpp
\brief tridiagonal operator
\fullpath
ql/FiniteDifferences/%tridiagonaloperator.hpp
*/
// $Id: tridiagonaloperator.hpp,v 1.16 2002/02/22 16:37:16 nando Exp $
#ifndef quantlib_tridiagonal_operator_h
#define quantlib_tridiagonal_operator_h
#include <ql/FiniteDifferences/boundarycondition.hpp>
#include <ql/array.hpp>
#include <ql/date.hpp>
#include <ql/handle.hpp>
namespace QuantLib {
namespace FiniteDifferences {
//! Base implementation for tridiagonal operator
/*! \warning to use real time-dependant algebra, you must overload
the corresponding operators in the inheriting time-dependent
class
*/
class TridiagonalOperator {
// unary operators
friend TridiagonalOperator operator+(const TridiagonalOperator&);
friend TridiagonalOperator operator-(const TridiagonalOperator&);
// binary operators
friend TridiagonalOperator operator+(const TridiagonalOperator&,
const TridiagonalOperator&);
friend TridiagonalOperator operator-(const TridiagonalOperator&,
const TridiagonalOperator&);
friend TridiagonalOperator operator*(double,
const TridiagonalOperator&);
friend TridiagonalOperator operator*(const TridiagonalOperator&,
double);
friend TridiagonalOperator operator/(const TridiagonalOperator&,
double);
public:
typedef Array arrayType;
// constructors
TridiagonalOperator(Size size = 0);
TridiagonalOperator(const Array& low, const Array& mid,
const Array& high);
#if defined(QL_PATCH_MICROSOFT_BUGS)
/* This copy constructor and assignment operator are here
because somehow Visual C++ is not able to generate working
ones. They are _not_ to be defined for other compilers
which are able to generate correct ones. */
TridiagonalOperator(const TridiagonalOperator& L);
TridiagonalOperator& operator=(const TridiagonalOperator& L);
#endif
//! \name Operator interface
//@{
//! apply operator to a given array
Array applyTo(const Array& v) const;
//! solve linear system for a given right-hand side
Array solveFor(const Array& rhs) const;
//! solve linear system with SOR approach
Array SOR(const Array& rhs, double tol) const;
//! identity instance
static TridiagonalOperator identity(Size size);
//@}
//! \name Inspectors
//@{
Size size() const;
bool isTimeDependent();
//@}
//! \name Modifiers
//@{
void setLowerBC(const BoundaryCondition& bc);
void setUpperBC(const BoundaryCondition& bc);
void setFirstRow(double, double);
void setMidRow(Size, double, double, double);
void setMidRows(double, double, double);
void setLastRow(double, double);
void setTime(Time t);
//@}
//! encapsulation of time-setting logic
class TimeSetter {
public:
virtual ~TimeSetter() {}
virtual void setTime(Time t,
TridiagonalOperator& L) const = 0;
};
protected:
Array diagonal_, belowDiagonal_, aboveDiagonal_;
BoundaryCondition lowerBC_, upperBC_;
Handle<TimeSetter> timeSetter_;
};
// inline definitions
#if defined(QL_PATCH_MICROSOFT_BUGS)
inline TridiagonalOperator::TridiagonalOperator(
const TridiagonalOperator& L) {
belowDiagonal_ = L.belowDiagonal_;
diagonal_ = L.diagonal_;
aboveDiagonal_ = L.aboveDiagonal_;
lowerBC_ = L.lowerBC_;
upperBC_ = L.upperBC_;
timeSetter_ = L.timeSetter_;
}
inline TridiagonalOperator& TridiagonalOperator::operator=(
const TridiagonalOperator& L){
belowDiagonal_ = L.belowDiagonal_;
diagonal_ = L.diagonal_;
aboveDiagonal_ = L.aboveDiagonal_;
lowerBC_ = L.lowerBC_;
upperBC_ = L.upperBC_;
timeSetter_ = L.timeSetter_;
return *this;
}
#endif
inline Size TridiagonalOperator::size() const {
return diagonal_.size();
}
inline bool TridiagonalOperator::isTimeDependent() {
return !timeSetter_.isNull();
}
inline void TridiagonalOperator::setFirstRow(double valB,
double valC) {
diagonal_[0] = valB;
aboveDiagonal_[0] = valC;
}
inline void TridiagonalOperator::setMidRow(Size i,
double valA, double valB, double valC) {
QL_REQUIRE(i>=1 && i<=size()-2,
"out of range in TridiagonalSystem::setMidRow");
belowDiagonal_[i-1] = valA;
diagonal_[i] = valB;
aboveDiagonal_[i] = valC;
}
inline void TridiagonalOperator::setMidRows(double valA,
double valB, double valC){
for (Size i=1; i<=size()-2; i++) {
belowDiagonal_[i-1] = valA;
diagonal_[i] = valB;
aboveDiagonal_[i] = valC;
}
}
inline void TridiagonalOperator::setLastRow(double valA,
double valB) {
belowDiagonal_[size()-2] = valA;
diagonal_[size()-1] = valB;
}
inline void TridiagonalOperator::setTime(Time t) {
if (!timeSetter_.isNull())
timeSetter_->setTime(t,*this);
}
// Time constant algebra
inline TridiagonalOperator operator+(const TridiagonalOperator& D) {
return D;
}
inline TridiagonalOperator operator-(const TridiagonalOperator& D) {
Array low = -D.belowDiagonal_, mid = -D.diagonal_,
high = -D.aboveDiagonal_;
TridiagonalOperator result(low,mid,high);
result.setLowerBC(D.lowerBC_);
result.setUpperBC(D.upperBC_);
return result;
}
inline TridiagonalOperator operator+(const TridiagonalOperator& D1,
const TridiagonalOperator& D2) {
QL_REQUIRE(D1.lowerBC_.type() == BoundaryCondition::None ||
D2.lowerBC_.type() == BoundaryCondition::None,
"Adding operators with colliding boundary conditions");
QL_REQUIRE(D1.upperBC_.type() == BoundaryCondition::None ||
D2.upperBC_.type() == BoundaryCondition::None,
"Adding operators with colliding boundary conditions");
Array low = D1.belowDiagonal_+D2.belowDiagonal_,
mid = D1.diagonal_+D2.diagonal_,
high = D1.aboveDiagonal_+D2.aboveDiagonal_;
TridiagonalOperator result(low,mid,high);
if (D1.lowerBC_.type() == BoundaryCondition::None)
result.setLowerBC(D2.lowerBC_);
else
result.setLowerBC(D1.lowerBC_);
if (D1.upperBC_.type() == BoundaryCondition::None)
result.setUpperBC(D2.upperBC_);
else
result.setUpperBC(D1.upperBC_);
return result;
}
inline TridiagonalOperator operator-(const TridiagonalOperator& D1,
const TridiagonalOperator& D2) {
QL_REQUIRE(D1.lowerBC_.type() == BoundaryCondition::None ||
D2.lowerBC_.type() == BoundaryCondition::None,
"Subtracting operators with colliding boundary conditions");
QL_REQUIRE(D1.upperBC_.type() == BoundaryCondition::None ||
D2.upperBC_.type() == BoundaryCondition::None,
"Subtracting operators with colliding boundary conditions");
Array low = D1.belowDiagonal_-D2.belowDiagonal_,
mid = D1.diagonal_-D2.diagonal_,
high = D1.aboveDiagonal_-D2.aboveDiagonal_;
TridiagonalOperator result(low,mid,high);
if (D1.lowerBC_.type() == BoundaryCondition::None)
result.setLowerBC(D2.lowerBC_);
else
result.setLowerBC(D1.lowerBC_);
if (D1.upperBC_.type() == BoundaryCondition::None)
result.setUpperBC(D2.upperBC_);
else
result.setUpperBC(D1.upperBC_);
return result;
}
inline TridiagonalOperator operator*(double a,
const TridiagonalOperator& D) {
Array low = D.belowDiagonal_*a, mid = D.diagonal_*a,
high = D.aboveDiagonal_*a;
TridiagonalOperator result(low,mid,high);
result.setLowerBC(D.lowerBC_);
result.setUpperBC(D.upperBC_);
return result;
}
inline TridiagonalOperator operator*(const TridiagonalOperator& D,
double a) {
Array low = D.belowDiagonal_*a, mid = D.diagonal_*a,
high = D.aboveDiagonal_*a;
TridiagonalOperator result(low,mid,high);
result.setLowerBC(D.lowerBC_);
result.setUpperBC(D.upperBC_);
return result;
}
inline TridiagonalOperator operator/(const TridiagonalOperator& D,
double a) {
Array low = D.belowDiagonal_/a, mid = D.diagonal_/a,
high = D.aboveDiagonal_/a;
TridiagonalOperator result(low,mid,high);
result.setLowerBC(D.lowerBC_);
result.setUpperBC(D.upperBC_);
return result;
}
}
}
#endif
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