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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 fdmg2op.hpp
\brief FDM G2 operator
*/
#ifndef quantlib_fdm_g2_op_hpp
#define quantlib_fdm_g2_op_hpp
#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
namespace QuantLib {
class G2;
class FdmMesher;
class FdmG2Op : public FdmLinearOpComposite {
public:
FdmG2Op(
const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<G2>& model,
Size direction1, Size direction2);
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:
const Size direction1_, direction2_;
const Array x_, y_;
const TripleBandLinearOp dxMap_, dyMap_;
NinePointLinearOp corrMap_;
TripleBandLinearOp mapX_, mapY_;
const ext::shared_ptr<G2> model_;
};
}
#endif
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