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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/utilities/fdmmesherintegral.hpp>
namespace QuantLib {
FdmMesherIntegral::FdmMesherIntegral(
const ext::shared_ptr<FdmMesherComposite>& mesher,
const ext::function<Real(const Array&, const Array&)>& integrator1d)
: meshers_(mesher->getFdm1dMeshers().begin(),
mesher->getFdm1dMeshers().end()),
integrator1d_(integrator1d) {
}
Real FdmMesherIntegral::integrate(const Array& f) const {
const Array x(meshers_.back()->locations().begin(),
meshers_.back()->locations().end());
if (meshers_.size() == 1) {
return integrator1d_(x, f);
}
const ext::shared_ptr<FdmMesherComposite> subMesher(
new FdmMesherComposite(
std::vector<ext::shared_ptr<Fdm1dMesher> >(
meshers_.begin(), meshers_.end()-1)));
FdmMesherIntegral subMesherIntegral(subMesher, integrator1d_);
const Size subSize = subMesher->layout()->size();
Array g(x.size()), fSub(subSize);
for (Size i=0; i < x.size(); ++i) {
std::copy(f.begin() + i *subSize,
f.begin() + (i+1)*subSize, fSub.begin());
g[i] = subMesherIntegral.integrate(fSub);
}
return integrator1d_(x, g);
}
}
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