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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 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.
*/
/*! \file fdmcevop.cpp */
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/fdmcevop.hpp>
#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
namespace QuantLib {
FdmCEVOp::FdmCEVOp(
const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<YieldTermStructure>& rTS,
Real f0, Real alpha, Real beta,
Size direction)
: rTS_(rTS),
direction_(direction),
dxxMap_(SecondDerivativeOp(0, mesher)
.mult(0.5 * alpha * alpha *
Pow(mesher->locations(direction), 2.0 * beta))),
mapT_(direction, mesher) {
}
Size FdmCEVOp::size() const { return 1U; }
void FdmCEVOp::setTime(Time t1, Time t2) {
const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate();
mapT_.axpyb(Array(), dxxMap_, dxxMap_, Array(1, -r));
}
Disposable<Array> FdmCEVOp::apply(const Array& r) const {
return mapT_.apply(r);
}
Disposable<Array> FdmCEVOp::apply_mixed(const Array& r) const {
Array retVal(r.size(), 0.0);
return retVal;
}
Disposable<Array>
FdmCEVOp::apply_direction(Size direction, const Array& r) const {
if (direction == direction_) {
return mapT_.apply(r);
}
else {
Array retVal(r.size(), 0.0);
return retVal;
}
}
Disposable<Array>
FdmCEVOp::solve_splitting(Size direction, const Array& r, Real a) const {
if (direction == direction_) {
return mapT_.solve_splitting(r, a, 1.0);
}
else {
Array retVal(r.size(), 0.0);
return retVal;
}
}
Disposable<Array>
FdmCEVOp::preconditioner(const Array& r, Real dt) const {
return solve_splitting(direction_, r, dt);
}
#if !defined(QL_NO_UBLAS_SUPPORT)
Disposable<std::vector<SparseMatrix> > FdmCEVOp::toMatrixDecomp() const {
std::vector<SparseMatrix> retVal(1, mapT_.toMatrix());
return retVal;
}
#endif
}
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