triplebandlinearop.hpp

/* -*- 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
 Copyright (C) 2014 Johannes Göttker-Schnetmann
 
 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.
*/
 
#ifndef quantlib_triple_band_linear_op_hpp
#define quantlib_triple_band_linear_op_hpp
 
#include <ql/methods/finitedifferences/operators/fdmlinearop.hpp>
#include <memory>
 
namespace QuantLib {
 
    class FdmMesher;
    
    class TripleBandLinearOp : public FdmLinearOp {
      public:
        TripleBandLinearOp(Size direction,
                           const ext::shared_ptr<FdmMesher>& mesher);
 
        TripleBandLinearOp(const TripleBandLinearOp& m);
        TripleBandLinearOp(TripleBandLinearOp&& m) noexcept;
        TripleBandLinearOp& operator=(const TripleBandLinearOp& m);
        TripleBandLinearOp& operator=(TripleBandLinearOp&& m) noexcept;
        ~TripleBandLinearOp() override = default;
 
        Array apply(const Array& r) const override;
        Array solve_splitting(const Array& r, Real a, Real b = 1.0) const;
 
        TripleBandLinearOp mult(const Array& u) const;
        // interpret u as the diagonal of a diagonal matrix, multiplied on LHS
        TripleBandLinearOp multR(const Array& u) const;
        // interpret u as the diagonal of a diagonal matrix, multiplied on RHS
        TripleBandLinearOp add(const TripleBandLinearOp& m) const;
        TripleBandLinearOp add(const Array& u) const;
 
        // some very basic linear algebra routines
        void axpyb(const Array& a, const TripleBandLinearOp& x,
                   const TripleBandLinearOp& y, const Array& b);
 
        void swap(TripleBandLinearOp& m) noexcept;
 
        SparseMatrix toMatrix() const override;
 
      protected:
        TripleBandLinearOp() = default;
 
        Size direction_;
        std::unique_ptr<Size[]> i0_, i2_;
        std::unique_ptr<Size[]> reverseIndex_;
        std::unique_ptr<Real[]> lower_, diag_, upper_;
 
        ext::shared_ptr<FdmMesher> mesher_;
    };
 
 
    inline TripleBandLinearOp::TripleBandLinearOp(TripleBandLinearOp&& m) noexcept {
        swap(m);
    }
 
    inline TripleBandLinearOp& TripleBandLinearOp::operator=(const TripleBandLinearOp& m) {
        TripleBandLinearOp tmp(m);
        swap(tmp);
        return *this;
    }
 
    inline TripleBandLinearOp& TripleBandLinearOp::operator=(TripleBandLinearOp&& m) noexcept {
        swap(m);
        return *this;
    }
 
}
 
#endif