fdmdupire1dop.cpp

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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
 <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.
*/
 
#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());
}
 
}