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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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 fdmhullwhiteop.cpp */
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
namespace QuantLib {
FdmHullWhiteOp::FdmHullWhiteOp(
const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<HullWhite>& model,
Size direction)
: direction_(direction),
x_(mesher->locations(direction)),
dzMap_(FirstDerivativeOp(direction, mesher).mult(-x_*model->a()).add(
SecondDerivativeOp(direction, mesher)
.mult(0.5*model->sigma()*model->sigma()
*Array(mesher->layout()->size(), 1.0)))),
mapT_(direction, mesher),
model_(model) {
}
Size FdmHullWhiteOp::size() const { return 1U; }
void FdmHullWhiteOp::setTime(Time t1, Time t2) {
const ext::shared_ptr<OneFactorModel::ShortRateDynamics> dynamics =
model_->dynamics();
const Real phi = 0.5*( dynamics->shortRate(t1, 0.0)
+ dynamics->shortRate(t2, 0.0));
mapT_.axpyb(Array(), dzMap_, dzMap_, -(x_+phi));
}
Disposable<Array> FdmHullWhiteOp::apply(const Array& r) const {
return mapT_.apply(r);
}
Disposable<Array> FdmHullWhiteOp::apply_mixed(const Array& r) const {
Array retVal(r.size(), 0.0);
return retVal;
}
Disposable<Array>
FdmHullWhiteOp::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> FdmHullWhiteOp::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>
FdmHullWhiteOp::preconditioner(const Array& r, Real dt) const {
return solve_splitting(direction_, r, dt);
}
#if !defined(QL_NO_UBLAS_SUPPORT)
Disposable<std::vector<SparseMatrix> >
FdmHullWhiteOp::toMatrixDecomp() const {
std::vector<SparseMatrix> retVal(1, mapT_.toMatrix());
return retVal;
}
#endif
}
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