fdmcevop.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2018 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 fdmcevop.cpp */
 
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/fdmcevop.hpp>
#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
 
 
namespace QuantLib {
 
    FdmCEVOp::FdmCEVOp(
        const ext::shared_ptr<FdmMesher>& mesher,
        const ext::shared_ptr<YieldTermStructure>& rTS,
        Real f0, Real alpha, Real beta,
        Size direction)
    : rTS_(rTS),
      direction_(direction),
      dxxMap_(SecondDerivativeOp(0, mesher)
              .mult(0.5 * alpha * alpha *
                    Pow(mesher->locations(direction), 2.0 * beta))),
      mapT_(direction, mesher) {
    }
 
    Size FdmCEVOp::size() const { return 1U; }
 
    void FdmCEVOp::setTime(Time t1, Time t2) {
        const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate();
        mapT_.axpyb(Array(), dxxMap_, dxxMap_, Array(1, -r));
    }
 
    Array FdmCEVOp::apply(const Array& r) const {
        return mapT_.apply(r);
    }
 
    Array FdmCEVOp::apply_mixed(const Array& r) const {
        return Array(r.size(), 0.0);
    }
 
    Array FdmCEVOp::apply_direction(Size direction, const Array& r) const {
        if (direction == direction_) {
            return mapT_.apply(r);
        }
        else {
            return Array(r.size(), 0.0);
        }
    }
 
    Array FdmCEVOp::solve_splitting(Size direction, const Array& r, Real a) const {
        if (direction == direction_) {
            return mapT_.solve_splitting(r, a, 1.0);
        }
        else {
            return Array(r.size(), 0.0);
        }
    }
 
    Array FdmCEVOp::preconditioner(const Array& r, Real dt) const {
        return solve_splitting(direction_, r, dt);
    }
 
    std::vector<SparseMatrix> FdmCEVOp::toMatrixDecomp() const {
        return std::vector<SparseMatrix>(1, mapT_.toMatrix());
    }
 
}