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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/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <boost/assign/list_of.hpp>
namespace QuantLib {
namespace {
typedef boost::shared_ptr<Fdm1dMesher> T;
std::vector<T> build_vector(const T& m1) {
return std::vector<T>(1, m1);
}
std::vector<T> build_vector(const T& m1, const T& m2) {
const std::vector<boost::shared_ptr<Fdm1dMesher> > retVal
= boost::assign::list_of(m1)(m2);
return retVal;
}
std::vector<T> build_vector(const T& m1, const T& m2, const T& m3) {
const std::vector<boost::shared_ptr<Fdm1dMesher> > retVal
= boost::assign::list_of(m1)(m2)(m3);
return retVal;
}
std::vector<T> build_vector(const T& m1, const T& m2,
const T& m3, const T& m4) {
const std::vector<boost::shared_ptr<Fdm1dMesher> > retVal
= boost::assign::list_of(m1)(m2)(m3)(m4);
return retVal;
}
boost::shared_ptr<FdmLinearOpLayout> getLayoutFromMeshers(
const std::vector<boost::shared_ptr<Fdm1dMesher> > & meshers) {
std::vector<Size> dim(meshers.size());
for (Size i=0; i < dim.size(); ++i) {
dim[i] = meshers[i]->size();
}
return boost::shared_ptr<FdmLinearOpLayout>(
new FdmLinearOpLayout(dim));
}
}
FdmMesherComposite::FdmMesherComposite(
const boost::shared_ptr<Fdm1dMesher>& mesher)
: FdmMesher(getLayoutFromMeshers(build_vector(mesher))),
mesher_(build_vector(mesher)) {
}
FdmMesherComposite::FdmMesherComposite(
const boost::shared_ptr<Fdm1dMesher>& m1,
const boost::shared_ptr<Fdm1dMesher>& m2)
: FdmMesher(getLayoutFromMeshers(build_vector(m1, m2))),
mesher_(build_vector(m1, m2)) {
}
FdmMesherComposite::FdmMesherComposite(
const boost::shared_ptr<Fdm1dMesher>& m1,
const boost::shared_ptr<Fdm1dMesher>& m2,
const boost::shared_ptr<Fdm1dMesher>& m3)
: FdmMesher(getLayoutFromMeshers(build_vector(m1, m2, m3))),
mesher_(build_vector(m1, m2, m3)) {
}
FdmMesherComposite::FdmMesherComposite(
const boost::shared_ptr<Fdm1dMesher>& m1,
const boost::shared_ptr<Fdm1dMesher>& m2,
const boost::shared_ptr<Fdm1dMesher>& m3,
const boost::shared_ptr<Fdm1dMesher>& m4)
: FdmMesher(getLayoutFromMeshers(build_vector(m1, m2, m3, m4))),
mesher_(build_vector(m1, m2, m3, m4)) {
}
FdmMesherComposite::FdmMesherComposite(
const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher)
: FdmMesher(getLayoutFromMeshers(mesher)), mesher_(mesher) {
}
FdmMesherComposite::FdmMesherComposite(
const boost::shared_ptr<FdmLinearOpLayout>& layout,
const std::vector<boost::shared_ptr<Fdm1dMesher> > & mesher)
: FdmMesher(layout), mesher_(mesher) {
for (Size i=0; i < mesher.size(); ++i) {
QL_REQUIRE(mesher[i]->size() == layout->dim()[i],
"size of 1d mesher " << i << " does not fit to layout");
}
}
Real FdmMesherComposite::dplus(const FdmLinearOpIterator& iter,
Size direction) const {
return mesher_[direction]->dplus(iter.coordinates()[direction]);
}
Real FdmMesherComposite::dminus(const FdmLinearOpIterator& iter,
Size direction) const {
return mesher_[direction]->dminus(iter.coordinates()[direction]);
}
Real FdmMesherComposite::location(const FdmLinearOpIterator& iter,
Size direction) const {
return mesher_[direction]->location(iter.coordinates()[direction]);
}
Disposable<Array> FdmMesherComposite::locations(Size direction) const {
Array retVal(layout_->size());
const FdmLinearOpIterator endIter = layout_->end();
for (FdmLinearOpIterator iter = layout_->begin();
iter != endIter; ++iter) {
retVal[iter.index()] =
mesher_[direction]->locations()[iter.coordinates()[direction]];
}
return retVal;
}
}
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