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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Peter Caspers
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.
*/
#include <ql/experimental/finitedifferences/fdmdupire1dop.hpp>
#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
#include <boost/numeric/ublas/matrix.hpp>
namespace QuantLib {
FdmDupire1dOp::FdmDupire1dOp(const ext::shared_ptr<FdmMesher> &mesher,
const Array &localVolatility)
: mesher_(mesher), localVolatility_(localVolatility),
mapT_(SecondDerivativeOp(0, mesher)
.mult(0.5 * localVolatility * localVolatility)) {}
void FdmDupire1dOp::setTime(Time t1, Time t2) {}
Size FdmDupire1dOp::size() const { return 1; }
Array FdmDupire1dOp::apply(const Array &u) const {
return mapT_.apply(u);
}
Array FdmDupire1dOp::apply_direction(Size direction, const Array &r) const {
if (direction == 0)
return mapT_.apply(r);
QL_FAIL("direction too large");
}
Array FdmDupire1dOp::apply_mixed(const Array &r) const {
return r;
}
Array FdmDupire1dOp::solve_splitting(Size direction, const Array &r, Real a) const {
if (direction == 0) {
return mapT_.solve_splitting(r, a, 1.0);
}
QL_FAIL("direction too large");
}
Array FdmDupire1dOp::preconditioner(const Array &r, Real dt) const {
return solve_splitting(0, r, dt);
}
std::vector<SparseMatrix> FdmDupire1dOp::toMatrixDecomp() const {
return std::vector<SparseMatrix>(1, mapT_.toMatrix());
}
}
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