ninepointlinearop.cpp

Go to the documentation of this file.

/* -*- 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 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.
*/
 
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
 
namespace QuantLib {
 
    NinePointLinearOp::NinePointLinearOp(
        Size d0, Size d1,
        const ext::shared_ptr<FdmMesher>& mesher)
    : d0_(d0), d1_(d1),
      i00_(new Size[mesher->layout()->size()]),
      i10_(new Size[mesher->layout()->size()]),
      i20_(new Size[mesher->layout()->size()]),
      i01_(new Size[mesher->layout()->size()]),
      i21_(new Size[mesher->layout()->size()]),
      i02_(new Size[mesher->layout()->size()]),
      i12_(new Size[mesher->layout()->size()]),
      i22_(new Size[mesher->layout()->size()]),
      a00_(new Real[mesher->layout()->size()]),
      a10_(new Real[mesher->layout()->size()]),
      a20_(new Real[mesher->layout()->size()]),
      a01_(new Real[mesher->layout()->size()]),
      a11_(new Real[mesher->layout()->size()]),
      a21_(new Real[mesher->layout()->size()]),
      a02_(new Real[mesher->layout()->size()]),
      a12_(new Real[mesher->layout()->size()]),
      a22_(new Real[mesher->layout()->size()]),
      mesher_(mesher) {
 
        QL_REQUIRE(   d0_ != d1_
            && d0_ < mesher->layout()->dim().size()
            && d1_ < mesher->layout()->dim().size(),
            "inconsistent derivative directions");
 
        for (const auto& iter : *mesher->layout()) {
            const Size i = iter.index();
 
            i10_[i] = mesher->layout()->neighbourhood(iter, d1_, -1);
            i01_[i] = mesher->layout()->neighbourhood(iter, d0_, -1);
            i21_[i] = mesher->layout()->neighbourhood(iter, d0_,  1);
            i12_[i] = mesher->layout()->neighbourhood(iter, d1_,  1);
            i00_[i] = mesher->layout()->neighbourhood(iter, d0_, -1, d1_, -1);
            i20_[i] = mesher->layout()->neighbourhood(iter, d0_,  1, d1_, -1);
            i02_[i] = mesher->layout()->neighbourhood(iter, d0_, -1, d1_,  1);
            i22_[i] = mesher->layout()->neighbourhood(iter, d0_,  1, d1_,  1);
        }
    }
 
    NinePointLinearOp::NinePointLinearOp(const NinePointLinearOp& m)
    : i00_(new Size[m.mesher_->layout()->size()]),
      i10_(new Size[m.mesher_->layout()->size()]),
      i20_(new Size[m.mesher_->layout()->size()]),
      i01_(new Size[m.mesher_->layout()->size()]),
      i21_(new Size[m.mesher_->layout()->size()]),
      i02_(new Size[m.mesher_->layout()->size()]),
      i12_(new Size[m.mesher_->layout()->size()]),
      i22_(new Size[m.mesher_->layout()->size()]),
      a00_(new Real[m.mesher_->layout()->size()]),
      a10_(new Real[m.mesher_->layout()->size()]),
      a20_(new Real[m.mesher_->layout()->size()]),
      a01_(new Real[m.mesher_->layout()->size()]),
      a11_(new Real[m.mesher_->layout()->size()]),
      a21_(new Real[m.mesher_->layout()->size()]),
      a02_(new Real[m.mesher_->layout()->size()]),
      a12_(new Real[m.mesher_->layout()->size()]),
      a22_(new Real[m.mesher_->layout()->size()]),
      mesher_(m.mesher_) {
 
        const Size size = mesher_->layout()->size();
        std::copy(m.i00_.get(), m.i00_.get()+size, i00_.get());
        std::copy(m.i10_.get(), m.i10_.get()+size, i10_.get());
        std::copy(m.i20_.get(), m.i20_.get()+size, i20_.get());
        std::copy(m.i01_.get(), m.i01_.get()+size, i01_.get());
        std::copy(m.i21_.get(), m.i21_.get()+size, i21_.get());
        std::copy(m.i02_.get(), m.i02_.get()+size, i02_.get());
        std::copy(m.i12_.get(), m.i12_.get()+size, i12_.get());
        std::copy(m.i22_.get(), m.i22_.get()+size, i22_.get());
        std::copy(m.a00_.get(), m.a00_.get()+size, a00_.get());
        std::copy(m.a10_.get(), m.a10_.get()+size, a10_.get());
        std::copy(m.a20_.get(), m.a20_.get()+size, a20_.get());
        std::copy(m.a01_.get(), m.a01_.get()+size, a01_.get());
        std::copy(m.a11_.get(), m.a11_.get()+size, a11_.get());
        std::copy(m.a21_.get(), m.a21_.get()+size, a21_.get());
        std::copy(m.a02_.get(), m.a02_.get()+size, a02_.get());
        std::copy(m.a12_.get(), m.a12_.get()+size, a12_.get());
        std::copy(m.a22_.get(), m.a22_.get()+size, a22_.get());
    }
 
    Array NinePointLinearOp::apply(const Array& u) const {
 
        QL_REQUIRE(u.size() == mesher_->layout()->size(),"inconsistent length of r "
                    << u.size() << " vs " << mesher_->layout()->size());
 
        Array retVal(u.size());
        // direct access to make the following code faster.
        const Real *a00(a00_.get()), *a01(a01_.get()), *a02(a02_.get());
        const Real *a10(a10_.get()), *a11(a11_.get()), *a12(a12_.get());
        const Real *a20(a20_.get()), *a21(a21_.get()), *a22(a22_.get());
        const Size *i00(i00_.get()), *i01(i01_.get()), *i02(i02_.get());
        const Size *i10(i10_.get()),                   *i12(i12_.get());
        const Size *i20(i20_.get()), *i21(i21_.get()), *i22(i22_.get());
 
        //#pragma omp parallel for
        for (Size i=0; i < retVal.size(); ++i) {
            retVal[i] =   a00[i]*u[i00[i]]
                        + a01[i]*u[i01[i]]
                        + a02[i]*u[i02[i]]
                        + a10[i]*u[i10[i]]
                        + a11[i]*u[i]
                        + a12[i]*u[i12[i]]
                        + a20[i]*u[i20[i]]
                        + a21[i]*u[i21[i]]
                        + a22[i]*u[i22[i]];
        }
        return retVal;
    }
 
    SparseMatrix NinePointLinearOp::toMatrix() const {
        const Size n = mesher_->layout()->size();
 
        SparseMatrix retVal(n, n, 9*n);
        for (Size i=0; i < mesher_->layout()->size(); ++i) {
            retVal(i, i00_[i]) += a00_[i];
            retVal(i, i01_[i]) += a01_[i];
            retVal(i, i02_[i]) += a02_[i];
            retVal(i, i10_[i]) += a10_[i];
            retVal(i, i      ) += a11_[i];
            retVal(i, i12_[i]) += a12_[i];
            retVal(i, i20_[i]) += a20_[i];
            retVal(i, i21_[i]) += a21_[i];
            retVal(i, i22_[i]) += a22_[i];
        }
 
        return retVal;
    }
 
 
    NinePointLinearOp NinePointLinearOp::mult(const Array & u) const {
 
        NinePointLinearOp retVal(d0_, d1_, mesher_);
        const Size size = mesher_->layout()->size();
 
        //#pragma omp parallel for
        for (Size i=0; i < size; ++i) {
            const Real s = u[i];
            retVal.a11_[i]=a11_[i]*s; retVal.a00_[i]=a00_[i]*s;
            retVal.a01_[i]=a01_[i]*s; retVal.a02_[i]=a02_[i]*s;
            retVal.a10_[i]=a10_[i]*s; retVal.a20_[i]=a20_[i]*s;
            retVal.a21_[i]=a21_[i]*s; retVal.a12_[i]=a12_[i]*s;
            retVal.a22_[i]=a22_[i]*s;
        }
 
        return retVal;
    }
 
    void NinePointLinearOp::swap(NinePointLinearOp& m) noexcept {
        std::swap(d0_, m.d0_);
        std::swap(d1_, m.d1_);
 
        i00_.swap(m.i00_); i10_.swap(m.i10_); i20_.swap(m.i20_);
        i01_.swap(m.i01_); i21_.swap(m.i21_); i02_.swap(m.i02_);
        i12_.swap(m.i12_); i22_.swap(m.i22_);
        a00_.swap(m.a00_); a10_.swap(m.a10_); a20_.swap(m.a20_);
        a01_.swap(m.a01_); a21_.swap(m.a21_); a02_.swap(m.a02_);
        a12_.swap(m.a12_); a22_.swap(m.a22_); a11_.swap(m.a11_);
 
        mesher_.swap(m.mesher_);
    }
}