fdmlinearopcomposite.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Andreas Gaida
 Copyright (C) 2008 Ralph Schreyer
 Copyright (C) 2008, 2012 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
 <http://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 fdmlinearopcomposite.hpp
    \brief composite pattern for linear operators
*/
 
#ifndef quantlib_fdm_affine_map_composite_hpp
#define quantlib_fdm_affine_map_composite_hpp
 
#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
#include <numeric>
 
namespace QuantLib {
 
    class FdmLinearOpComposite : public FdmLinearOp {
      public:
        virtual Size size() const = 0;
 
        //! Time \f$t1 <= t2\f$ is required
        virtual void setTime(Time t1, Time t2) = 0;
 
        virtual Array apply_mixed(const Array& r) const = 0;
        
        virtual Array apply_direction(Size direction, const Array& r) const = 0;
        virtual Array solve_splitting(Size direction, const Array& r, Real s) const = 0;
        virtual Array preconditioner(const Array& r, Real s) const = 0;
 
        virtual std::vector<SparseMatrix> toMatrixDecomp() const {
            QL_FAIL(" ublas representation is not implemented");
        }
 
        SparseMatrix toMatrix() const override {
            const std::vector<SparseMatrix> dcmp = toMatrixDecomp();
            return std::accumulate(dcmp.begin()+1, dcmp.end(),
                                   SparseMatrix(dcmp.front()));
        }
 
    };
}
 
#endif