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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2024 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
<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 fdmwienerop.cpp
*/
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmwienerop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
#include <boost/numeric/ublas/matrix.hpp>
namespace QuantLib {
FdmWienerOp::FdmWienerOp(
const ext::shared_ptr<FdmMesher>& mesher,
ext::shared_ptr<YieldTermStructure> rTS,
const Array& lambdas)
: rTS_(std::move(rTS)) {
QL_REQUIRE(mesher->layout()->dim().size() == lambdas.size(),
"mesher and lambdas need to be of the same dimension");
for (Size i=0; i < lambdas.size(); ++i)
ops_.emplace_back(ext::make_shared<TripleBandLinearOp>(
SecondDerivativeOp(i, mesher)
.mult(Array(mesher->layout()->size(), 0.5*lambdas[i])))
);
}
Size FdmWienerOp::size() const {
return ops_.size();
}
void FdmWienerOp::setTime(Time t1, Time t2) {
if (rTS_ != nullptr)
r_ = rTS_->forwardRate(t1, t2, Continuous).rate();
}
Array FdmWienerOp::apply(const Array& x) const {
Array y(-r_*x);
for (const auto& op: ops_)
y += op->apply(x);
return y;
}
Array FdmWienerOp::apply_mixed(const Array& x) const {
return Array(x.size(), 0.0);
}
Array FdmWienerOp::apply_direction(Size direction, const Array& x) const {
return ops_[direction]->apply(x);
}
Array FdmWienerOp::solve_splitting(
Size direction, const Array& x, Real s) const {
return ops_[direction]->solve_splitting(x, s, 1.0);
}
Array FdmWienerOp::preconditioner(const Array& r, Real dt) const {
return solve_splitting(0, r, dt);
}
std::vector<SparseMatrix> FdmWienerOp::toMatrixDecomp() const {
std::vector<SparseMatrix> retVal;
retVal.reserve(ops_.size());
for (const auto& op: ops_)
retVal.push_back(op->toMatrix());
return retVal;
}
}
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