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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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 fdmbatesop.hpp
\brief Bates linear operator
*/
#ifndef quantlib_fdm_bates_op_hpp
#define quantlib_fdm_bates_op_hpp
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
namespace QuantLib {
class LinearInterpolation;
class BatesProcess;
class FdmBatesOp : public FdmLinearOpComposite {
public:
FdmBatesOp(const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<BatesProcess>& batesProcess,
FdmBoundaryConditionSet bcSet,
Size integroIntegrationOrder,
const ext::shared_ptr<FdmQuantoHelper>& quantoHelper =
ext::shared_ptr<FdmQuantoHelper>());
Size size() const override;
void setTime(Time t1, Time t2) override;
Array apply(const Array& r) const override;
Array apply_mixed(const Array& r) const override;
Array apply_direction(Size direction, const Array& r) const override;
Array solve_splitting(Size direction, const Array& r, Real s) const override;
Array preconditioner(const Array& r, Real s) const override;
std::vector<SparseMatrix> toMatrixDecomp() const override;
private:
class IntegroIntegrand {
public:
IntegroIntegrand(const ext::shared_ptr<LinearInterpolation>& i,
const FdmBoundaryConditionSet& bcSet,
Real x, Real delta, Real nu);
Real operator()(Real y) const;
private:
const Real x_, delta_, nu_;
const FdmBoundaryConditionSet& bcSet_;
const ext::shared_ptr<LinearInterpolation>& interpl_;
};
Array integro(const Array& r) const;
Array x_, weights_;
const Real lambda_, delta_, nu_, m_;
GaussHermiteIntegration gaussHermiteIntegration_;
const ext::shared_ptr<FdmMesher> mesher_;
const FdmBoundaryConditionSet bcSet_;
const ext::shared_ptr<FdmHestonOp> hestonOp_;
};
// inline
inline Size FdmBatesOp::size() const {
return hestonOp_->size();
}
inline void FdmBatesOp::setTime(Time t1, Time t2) {
hestonOp_->setTime(t1, t2);
}
inline Array FdmBatesOp::apply(const Array& r) const {
return hestonOp_->apply(r) + integro(r);
}
inline Array FdmBatesOp::apply_mixed(const Array& r) const {
return hestonOp_->apply_mixed(r) + integro(r);
}
inline Array FdmBatesOp::apply_direction(Size direction,
const Array& r) const {
return hestonOp_->apply_direction(direction, r);
}
inline Array FdmBatesOp::solve_splitting(Size direction,
const Array& r,
Real s) const{
return hestonOp_->solve_splitting(direction, r, s);
}
inline Array FdmBatesOp::preconditioner(const Array& r,
Real s) const {
return hestonOp_->preconditioner(r, s);
}
}
#endif
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