ninepointlinearop.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 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 ninepointlinearop.hpp
    \brief nine point linear operator
*/
 
#ifndef quantlib_nine_point_linear_op_hpp
#define quantlib_nine_point_linear_op_hpp
 
#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
#include <memory>
 
namespace QuantLib {
 
    class FdmMesher;
 
    class NinePointLinearOp : public FdmLinearOp {
      public:
        NinePointLinearOp(Size d0, Size d1,
                const ext::shared_ptr<FdmMesher>& mesher);
        NinePointLinearOp(const NinePointLinearOp& m);
        NinePointLinearOp(NinePointLinearOp&& m) noexcept;
        NinePointLinearOp& operator=(const NinePointLinearOp& m);
        NinePointLinearOp& operator=(NinePointLinearOp&& m) noexcept;
        ~NinePointLinearOp() override = default;
 
        Array apply(const Array& r) const override;
        NinePointLinearOp mult(const Array& u) const;
 
        void swap(NinePointLinearOp& m) noexcept;
 
        SparseMatrix toMatrix() const override;
 
      protected:
        NinePointLinearOp() = default;
 
        Size d0_, d1_;
        std::unique_ptr<Size[]> i00_, i10_, i20_;
        std::unique_ptr<Size[]> i01_, i21_;
        std::unique_ptr<Size[]> i02_, i12_, i22_;
        std::unique_ptr<Real[]> a00_, a10_, a20_;
        std::unique_ptr<Real[]> a01_, a11_, a21_;
        std::unique_ptr<Real[]> a02_, a12_, a22_;
 
        ext::shared_ptr<FdmMesher> mesher_;
    };
 
 
    inline NinePointLinearOp::NinePointLinearOp(NinePointLinearOp&& m) noexcept {
        swap(m);
    }
 
    inline NinePointLinearOp& NinePointLinearOp::operator=(const NinePointLinearOp& m) {
        NinePointLinearOp temp(m);
        swap(temp);
        return *this;
    }
 
    inline NinePointLinearOp& NinePointLinearOp::operator=(NinePointLinearOp&& m) noexcept {
        swap(m);
        return *this;
    }
 
}
 
#endif