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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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 fdmexpoujumpop.cpp
\brief Kluge process (power) plus Ornstein Uhlenbeck process (gas)
*/
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>
#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
namespace QuantLib {
FdmKlugeExtOUOp::FdmKlugeExtOUOp(
const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
const ext::shared_ptr<YieldTermStructure>& rTS,
const FdmBoundaryConditionSet& bcSet,
Size integroIntegrationOrder)
: mesher_ (mesher),
kluge_ (klugeOUProcess->getKlugeProcess()),
extOU_ (klugeOUProcess->getExtOUProcess()),
rTS_ (rTS),
bcSet_ (bcSet),
klugeOp_(new FdmExtOUJumpOp(mesher, kluge_, rTS, bcSet,
integroIntegrationOrder)),
ouOp_ (new FdmExtendedOrnsteinUhlenbeckOp(
mesher, extOU_,
ext::shared_ptr<YieldTermStructure>(
new FlatForward(rTS->referenceDate(),
Handle<Quote>(ext::shared_ptr<Quote>(
new SimpleQuote(0.0))),
rTS->dayCounter())),
bcSet, 2)),
corrMap_(SecondOrderMixedDerivativeOp(0, 2, mesher).mult(
Array(mesher->layout()->size(),
klugeOUProcess->rho()*extOU_->volatility()
*kluge_->getExtendedOrnsteinUhlenbeckProcess()
->volatility())))
{ }
Size FdmKlugeExtOUOp::size() const {
return mesher_->layout()->dim().size();
}
void FdmKlugeExtOUOp::setTime(Time t1, Time t2) {
ouOp_->setTime(t1, t2);
klugeOp_->setTime(t1, t2);
}
Array FdmKlugeExtOUOp::apply(const Array& r) const {
return ouOp_->apply(r) + klugeOp_->apply(r) + corrMap_.apply(r);
}
Array FdmKlugeExtOUOp::apply_mixed(const Array& r) const {
return corrMap_.apply(r) + klugeOp_->apply_mixed(r);
}
Array FdmKlugeExtOUOp::apply_direction(Size direction,
const Array& r) const {
return klugeOp_->apply_direction(direction, r)
+ ouOp_->apply_direction(direction, r);
}
Array FdmKlugeExtOUOp::solve_splitting(Size direction,
const Array& r, Real a) const {
if (direction == 0 || direction == 1) {
return klugeOp_->solve_splitting(direction, r, a);
}
else if (direction == 2) {
return ouOp_->solve_splitting(direction, r, a);
}
else {
Array retVal(r);
return retVal;
}
}
Array FdmKlugeExtOUOp::preconditioner(const Array& r, Real dt) const {
return klugeOp_->solve_splitting(0, r, dt);
}
std::vector<SparseMatrix> FdmKlugeExtOUOp::toMatrixDecomp() const {
const std::vector<SparseMatrix> klugeDecomp = klugeOp_->toMatrixDecomp();
return {
klugeDecomp[0],
klugeDecomp[1],
ouOp_->toMatrixDecomp().front(),
corrMap_.toMatrix() + klugeDecomp[2]
};
}
}
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