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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
Copyright (C) 2011 Ferdinando Ametrano
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.
*/
/*! \file tridiagonaloperator.hpp
\brief tridiagonal operator
*/
#ifndef quantlib_tridiagonal_operator_hpp
#define quantlib_tridiagonal_operator_hpp
#include <ql/math/array.hpp>
#include <ql/math/comparison.hpp>
#include <boost/shared_ptr.hpp>
namespace QuantLib {
//! Base implementation for tridiagonal operator
/*! \warning to use real time-dependant algebra, you must overload
the corresponding operators in the inheriting
time-dependent class.
\ingroup findiff
*/
class TridiagonalOperator {
// unary operators
friend Disposable<TridiagonalOperator>
operator+(const TridiagonalOperator&);
friend Disposable<TridiagonalOperator>
operator-(const TridiagonalOperator&);
// binary operators
friend Disposable<TridiagonalOperator>
operator+(const TridiagonalOperator&,
const TridiagonalOperator&);
friend Disposable<TridiagonalOperator>
operator-(const TridiagonalOperator&,
const TridiagonalOperator&);
friend Disposable<TridiagonalOperator>
operator*(Real,
const TridiagonalOperator&);
friend Disposable<TridiagonalOperator>
operator*(const TridiagonalOperator&,
Real);
friend Disposable<TridiagonalOperator>
operator/(const TridiagonalOperator&,
Real);
public:
typedef Array array_type;
// constructors
explicit TridiagonalOperator(Size size = 0);
TridiagonalOperator(const Array& low,
const Array& mid,
const Array& high);
TridiagonalOperator(const Disposable<TridiagonalOperator>&);
TridiagonalOperator& operator=(const Disposable<TridiagonalOperator>&);
//! \name Operator interface
//@{
//! apply operator to a given array
Disposable<Array> applyTo(const Array& v) const;
//! solve linear system for a given right-hand side
Disposable<Array> solveFor(const Array& rhs) const;
/*! solve linear system for a given right-hand side
without result Array allocation. The rhs and result parameters
can be the same Array, in which case rhs will be changed
*/
void solveFor(const Array& rhs,
Array& result) const;
//! solve linear system with SOR approach
Disposable<Array> SOR(const Array& rhs,
Real tol) const;
//! identity instance
static Disposable<TridiagonalOperator> identity(Size size);
//@}
//! \name Inspectors
//@{
Size size() const { return n_; }
bool isTimeDependent() const { return !!timeSetter_; }
const Array& lowerDiagonal() const { return lowerDiagonal_; }
const Array& diagonal() const { return diagonal_; }
const Array& upperDiagonal() const { return upperDiagonal_; }
//@}
//! \name Modifiers
//@{
void setFirstRow(Real, Real);
void setMidRow(Size, Real, Real, Real);
void setMidRows(Real, Real, Real);
void setLastRow(Real, Real);
void setTime(Time t);
//@}
//! \name Utilities
//@{
void swap(TridiagonalOperator&);
//@}
//! encapsulation of time-setting logic
class TimeSetter {
public:
virtual ~TimeSetter() {}
virtual void setTime(Time t,
TridiagonalOperator& L) const = 0;
};
protected:
Size n_;
Array diagonal_, lowerDiagonal_, upperDiagonal_;
mutable Array temp_;
boost::shared_ptr<TimeSetter> timeSetter_;
};
/* \relates TridiagonalOperator */
void swap(TridiagonalOperator&, TridiagonalOperator&);
// inline definitions
inline TridiagonalOperator& TridiagonalOperator::operator=(
const Disposable<TridiagonalOperator>& from) {
swap(const_cast<Disposable<TridiagonalOperator>&>(from));
return *this;
}
inline void TridiagonalOperator::setFirstRow(Real valB,
Real valC) {
diagonal_[0] = valB;
upperDiagonal_[0] = valC;
}
inline void TridiagonalOperator::setMidRow(Size i,
Real valA,
Real valB,
Real valC) {
QL_REQUIRE(i>=1 && i<=n_-2,
"out of range in TridiagonalSystem::setMidRow");
lowerDiagonal_[i-1] = valA;
diagonal_[i] = valB;
upperDiagonal_[i] = valC;
}
inline void TridiagonalOperator::setMidRows(Real valA,
Real valB,
Real valC) {
for (Size i=1; i<=n_-2; i++) {
lowerDiagonal_[i-1] = valA;
diagonal_[i] = valB;
upperDiagonal_[i] = valC;
}
}
inline void TridiagonalOperator::setLastRow(Real valA,
Real valB) {
lowerDiagonal_[n_-2] = valA;
diagonal_[n_-1] = valB;
}
inline void TridiagonalOperator::setTime(Time t) {
if (timeSetter_)
timeSetter_->setTime(t, *this);
}
inline void TridiagonalOperator::swap(TridiagonalOperator& from) {
using std::swap;
swap(n_, from.n_);
diagonal_.swap(from.diagonal_);
lowerDiagonal_.swap(from.lowerDiagonal_);
upperDiagonal_.swap(from.upperDiagonal_);
temp_.swap(from.temp_);
swap(timeSetter_, from.timeSetter_);
}
// Time constant algebra
inline Disposable<TridiagonalOperator>
operator+(const TridiagonalOperator& D) {
TridiagonalOperator D1 = D;
return D1;
}
inline Disposable<TridiagonalOperator>
operator-(const TridiagonalOperator& D) {
Array low = -D.lowerDiagonal_,
mid = -D.diagonal_,
high = -D.upperDiagonal_;
TridiagonalOperator result(low, mid, high);
return result;
}
inline Disposable<TridiagonalOperator>
operator+(const TridiagonalOperator& D1,
const TridiagonalOperator& D2) {
Array low = D1.lowerDiagonal_ + D2.lowerDiagonal_,
mid = D1.diagonal_ + D2.diagonal_,
high = D1.upperDiagonal_ + D2.upperDiagonal_;
TridiagonalOperator result(low, mid, high);
return result;
}
inline Disposable<TridiagonalOperator>
operator-(const TridiagonalOperator& D1,
const TridiagonalOperator& D2) {
Array low = D1.lowerDiagonal_ - D2.lowerDiagonal_,
mid = D1.diagonal_ - D2.diagonal_,
high = D1.upperDiagonal_ - D2.upperDiagonal_;
TridiagonalOperator result(low, mid, high);
return result;
}
inline Disposable<TridiagonalOperator>
operator*(Real a,
const TridiagonalOperator& D) {
Array low = D.lowerDiagonal_ * a,
mid = D.diagonal_ * a,
high = D.upperDiagonal_ * a;
TridiagonalOperator result(low, mid, high);
return result;
}
inline Disposable<TridiagonalOperator>
operator*(const TridiagonalOperator& D,
Real a) {
Array low = D.lowerDiagonal_ * a,
mid = D.diagonal_ * a,
high = D.upperDiagonal_ * a;
TridiagonalOperator result(low, mid, high);
return result;
}
inline Disposable<TridiagonalOperator>
operator/(const TridiagonalOperator& D,
Real a) {
Array low = D.lowerDiagonal_ / a,
mid = D.diagonal_ / a,
high = D.upperDiagonal_ / a;
TridiagonalOperator result(low, mid, high);
return result;
}
inline void swap(TridiagonalOperator& L1,
TridiagonalOperator& L2) {
L1.swap(L2);
}
}
#endif
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