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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008 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
<http://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.
*/
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
namespace QuantLib {
NinePointLinearOp::NinePointLinearOp(
Size d0, Size d1,
const boost::shared_ptr<FdmMesher>& mesher)
: d0_(d0), d1_(d1),
i00_(new Size[mesher->layout()->size()]),
i10_(new Size[mesher->layout()->size()]),
i20_(new Size[mesher->layout()->size()]),
i01_(new Size[mesher->layout()->size()]),
i21_(new Size[mesher->layout()->size()]),
i02_(new Size[mesher->layout()->size()]),
i12_(new Size[mesher->layout()->size()]),
i22_(new Size[mesher->layout()->size()]),
a00_(new Real[mesher->layout()->size()]),
a10_(new Real[mesher->layout()->size()]),
a20_(new Real[mesher->layout()->size()]),
a01_(new Real[mesher->layout()->size()]),
a11_(new Real[mesher->layout()->size()]),
a21_(new Real[mesher->layout()->size()]),
a02_(new Real[mesher->layout()->size()]),
a12_(new Real[mesher->layout()->size()]),
a22_(new Real[mesher->layout()->size()]),
mesher_(mesher) {
QL_REQUIRE( d0_ != d1_
&& d0_ < mesher->layout()->dim().size()
&& d1_ < mesher->layout()->dim().size(),
"inconsistent derivative directions");
const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter!=endIter; ++iter) {
const Size i = iter.index();
i10_[i] = layout->neighbourhood(iter, d1_, -1);
i01_[i] = layout->neighbourhood(iter, d0_, -1);
i21_[i] = layout->neighbourhood(iter, d0_, 1);
i12_[i] = layout->neighbourhood(iter, d1_, 1);
i00_[i] = layout->neighbourhood(iter, d0_, -1, d1_, -1);
i20_[i] = layout->neighbourhood(iter, d0_, 1, d1_, -1);
i02_[i] = layout->neighbourhood(iter, d0_, -1, d1_, 1);
i22_[i] = layout->neighbourhood(iter, d0_, 1, d1_, 1);
}
}
NinePointLinearOp::NinePointLinearOp(const NinePointLinearOp& m)
: i00_(new Size[m.mesher_->layout()->size()]),
i10_(new Size[m.mesher_->layout()->size()]),
i20_(new Size[m.mesher_->layout()->size()]),
i01_(new Size[m.mesher_->layout()->size()]),
i21_(new Size[m.mesher_->layout()->size()]),
i02_(new Size[m.mesher_->layout()->size()]),
i12_(new Size[m.mesher_->layout()->size()]),
i22_(new Size[m.mesher_->layout()->size()]),
a00_(new Real[m.mesher_->layout()->size()]),
a10_(new Real[m.mesher_->layout()->size()]),
a20_(new Real[m.mesher_->layout()->size()]),
a01_(new Real[m.mesher_->layout()->size()]),
a11_(new Real[m.mesher_->layout()->size()]),
a21_(new Real[m.mesher_->layout()->size()]),
a02_(new Real[m.mesher_->layout()->size()]),
a12_(new Real[m.mesher_->layout()->size()]),
a22_(new Real[m.mesher_->layout()->size()]),
mesher_(m.mesher_) {
const Size size = mesher_->layout()->size();
std::copy(m.i00_.get(), m.i00_.get()+size, i00_.get());
std::copy(m.i10_.get(), m.i10_.get()+size, i10_.get());
std::copy(m.i20_.get(), m.i20_.get()+size, i20_.get());
std::copy(m.i01_.get(), m.i01_.get()+size, i01_.get());
std::copy(m.i21_.get(), m.i21_.get()+size, i21_.get());
std::copy(m.i02_.get(), m.i02_.get()+size, i02_.get());
std::copy(m.i12_.get(), m.i12_.get()+size, i12_.get());
std::copy(m.i22_.get(), m.i22_.get()+size, i22_.get());
std::copy(m.a00_.get(), m.a00_.get()+size, a00_.get());
std::copy(m.a10_.get(), m.a10_.get()+size, a10_.get());
std::copy(m.a20_.get(), m.a20_.get()+size, a20_.get());
std::copy(m.a01_.get(), m.a01_.get()+size, a01_.get());
std::copy(m.a11_.get(), m.a11_.get()+size, a11_.get());
std::copy(m.a21_.get(), m.a21_.get()+size, a21_.get());
std::copy(m.a02_.get(), m.a02_.get()+size, a02_.get());
std::copy(m.a12_.get(), m.a12_.get()+size, a12_.get());
std::copy(m.a22_.get(), m.a22_.get()+size, a22_.get());
}
NinePointLinearOp& NinePointLinearOp::operator=(
const NinePointLinearOp& m) {
NinePointLinearOp temp(m);
swap(temp);
return *this;
}
NinePointLinearOp& NinePointLinearOp::operator=(
const Disposable<NinePointLinearOp>& m) {
swap(const_cast<Disposable<NinePointLinearOp>&>(m));
return *this;
}
NinePointLinearOp::NinePointLinearOp(
const Disposable<NinePointLinearOp>& from) {
swap(const_cast<Disposable<NinePointLinearOp>&>(from));
}
Disposable<Array> NinePointLinearOp::apply(const Array& u)
const {
const boost::shared_ptr<FdmLinearOpLayout> index=mesher_->layout();
QL_REQUIRE(u.size() == index->size(),"inconsistent length of r "
<< u.size() << " vs " << index->size());
Array retVal(u.size());
// direct access to make the following code faster.
const Real *a00(a00_.get()), *a01(a01_.get()), *a02(a02_.get());
const Real *a10(a10_.get()), *a11(a11_.get()), *a12(a12_.get());
const Real *a20(a20_.get()), *a21(a21_.get()), *a22(a22_.get());
const Size *i00(i00_.get()), *i01(i01_.get()), *i02(i02_.get());
const Size *i10(i10_.get()), *i12(i12_.get());
const Size *i20(i20_.get()), *i21(i21_.get()), *i22(i22_.get());
for (Size i=0; i < retVal.size(); ++i) {
retVal[i] = a00[i]*u[i00[i]]
+ a01[i]*u[i01[i]]
+ a02[i]*u[i02[i]]
+ a10[i]*u[i10[i]]
+ a11[i]*u[i]
+ a12[i]*u[i12[i]]
+ a20[i]*u[i20[i]]
+ a21[i]*u[i21[i]]
+ a22[i]*u[i22[i]];
}
return retVal;
}
Disposable<NinePointLinearOp>
NinePointLinearOp::mult(const Array & u) const {
NinePointLinearOp retVal(d0_, d1_, mesher_);
const Size size = mesher_->layout()->size();
for (Size i=0; i < size; ++i) {
const Real s = u[i];
retVal.a11_[i]=a11_[i]*s; retVal.a00_[i]=a00_[i]*s;
retVal.a01_[i]=a01_[i]*s; retVal.a02_[i]=a02_[i]*s;
retVal.a10_[i]=a10_[i]*s; retVal.a20_[i]=a20_[i]*s;
retVal.a21_[i]=a21_[i]*s; retVal.a12_[i]=a12_[i]*s;
retVal.a22_[i]=a22_[i]*s;
}
return retVal;
}
void NinePointLinearOp::swap(NinePointLinearOp& m) {
std::swap(d0_, m.d0_);
std::swap(d1_, m.d1_);
i00_.swap(m.i00_); i10_.swap(m.i10_); i20_.swap(m.i20_);
i01_.swap(m.i01_); i21_.swap(m.i21_); i02_.swap(m.i02_);
i12_.swap(m.i12_); i22_.swap(m.i22_);
a00_.swap(m.a00_); a10_.swap(m.a10_); a20_.swap(m.a20_);
a01_.swap(m.a01_); a21_.swap(m.a21_); a02_.swap(m.a02_);
a12_.swap(m.a12_); a22_.swap(m.a22_); a11_.swap(m.a11_);
std::swap(mesher_, m.mesher_);
}
}
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