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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Joseph Wang
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
<https://www.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 transformedgrid.hpp
\brief encapuslates a grid
*/
#ifndef quantlib_transformed_grid_hpp
#define quantlib_transformed_grid_hpp
#include <ql/math/array.hpp>
#include <functional>
#include <numeric>
namespace QuantLib {
/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] TransformedGrid {
public:
TransformedGrid (const Array &grid) :
grid_(grid), transformedGrid_(grid),
dxm_(grid.size()), dxp_(grid.size()),
dx_(grid.size()){
for (Size i=1; i < transformedGrid_.size() -1 ; i++) {
dxm_[i] = transformedGrid_[i] - transformedGrid_[i-1];
dxp_[i] = transformedGrid_[i+1] - transformedGrid_[i];
dx_[i] = dxm_[i] + dxp_[i];
}
}
#if defined(__GNUC__) && (__GNUC__ >= 7)
#pragma GCC diagnostic push
#pragma GCC diagnostic ignored "-Wnoexcept-type"
#endif
template <class T>
TransformedGrid (const Array &grid, T func) :
grid_(grid), transformedGrid_(grid.size()),
dxm_(grid.size()), dxp_(grid.size()),
dx_(grid.size()){
std::transform(grid_.begin(),
grid_.end(),
transformedGrid_.begin(),
func);
for (Size i=1; i < transformedGrid_.size() -1 ; i++) {
dxm_[i] = transformedGrid_[i] - transformedGrid_[i-1];
dxp_[i] = transformedGrid_[i+1] - transformedGrid_[i];
dx_[i] = dxm_[i] + dxp_[i];
}
}
#if defined(__GNUC__) && (__GNUC__ >= 7)
#pragma GCC diagnostic pop
#endif
const Array &gridArray() const { return grid_;}
const Array &transformedGridArray() const { return transformedGrid_;}
const Array &dxmArray() const { return dxm_;}
const Array &dxpArray() const { return dxp_;}
const Array &dxArray() const { return dx_;}
Real grid(Size i) const { return grid_[i];}
Real transformedGrid(Size i) const { return transformedGrid_[i];}
Real dxm(Size i) const { return dxm_[i];}
Real dxp(Size i) const { return dxp_[i];}
Real dx(Size i) const { return dx_[i];}
Size size() const {return grid_.size();}
protected:
Array grid_;
Array transformedGrid_;
Array dxm_;
Array dxp_;
Array dx_;
};
QL_DEPRECATED_DISABLE_WARNING
/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] LogGrid : public TransformedGrid {
public:
LogGrid(const Array &grid) :
TransformedGrid(grid, [](Real x) -> Real { return std::log(x); }){};
const Array & logGridArray() const { return transformedGridArray();}
Real logGrid(Size i) const { return transformedGrid(i);}
};
QL_DEPRECATED_ENABLE_WARNING
}
#endif
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