/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2005 Joseph Wang

 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 pde.hpp

    \brief General class for one dimensional PDE's

*/

#ifndef quantlib_pde_hpp

#define quantlib_pde_hpp

#include <ql/math/array.hpp>

#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>

#include <ql/math/transformedgrid.hpp>

#include <utility>

namespace QuantLib {

    /*! \deprecated Part of the old FD framework; copy this function

                    in your codebase if needed.

                    Deprecated in version 1.37.

    */

    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeSecondOrderParabolic {

    public:

      virtual ~PdeSecondOrderParabolic() = default;

      virtual Real diffusion(Time t, Real x) const = 0;

      virtual Real drift(Time t, Real x) const = 0;

      virtual Real discount(Time t, Real x) const = 0;

      QL_DEPRECATED_DISABLE_WARNING

      virtual void

      generateOperator(Time t, const TransformedGrid& tg, TridiagonalOperator& L) const {

          for (Size i = 1; i < tg.size() - 1; i++) {

              Real sigma = diffusion(t, tg.grid(i));

              Real nu = drift(t, tg.grid(i));

              Real r = discount(t, tg.grid(i));

              Real sigma2 = sigma * sigma;

              Real pd = -(sigma2 / tg.dxm(i) - nu) / tg.dx(i);

              Real pu = -(sigma2 / tg.dxp(i) + nu) / tg.dx(i);

              Real pm = sigma2 / (tg.dxm(i) * tg.dxp(i)) + r;

              L.setMidRow(i, pd, pm, pu);

          }

        }

    };

    /*! \deprecated Part of the old FD framework; copy this function

                    in your codebase if needed.

                    Deprecated in version 1.37.

    */

    template <class PdeClass>

    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeConstantCoeff : public PdeSecondOrderParabolic  {

    public:

        PdeConstantCoeff(const typename PdeClass::argument_type &process,

                         Time t, Real x) {

            PdeClass pde(process);

            diffusion_ = pde.diffusion(t, x);

            drift_ = pde.drift(t, x);

            discount_ = pde.discount(t, x);

        }

        Real diffusion(Time, Real) const override { return diffusion_; }

        Real drift(Time, Real) const override { return drift_; }

        Real discount(Time, Real) const override { return discount_; }

      private:

        Real diffusion_;

        Real drift_;

        Real discount_;

    };

    QL_DEPRECATED_ENABLE_WARNING

    /*! \deprecated Part of the old FD framework; copy this function

                    in your codebase if needed.

                    Deprecated in version 1.37.

    */

    template <class PdeClass>

    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] GenericTimeSetter:public TridiagonalOperator::TimeSetter {

    public:

        template <class T>

        GenericTimeSetter(const Array &grid, T process) :

            grid_(grid), pde_(std::move(process)) {}

        void setTime(Time t, TridiagonalOperator& L) const override {

            pde_.generateOperator(t, grid_, L);

        }

    private:

        typename PdeClass::grid_type grid_;

        PdeClass pde_;

    };

    /*! \deprecated Part of the old FD framework; copy this function

                    in your codebase if needed.

                    Deprecated in version 1.37.

    */

    template <class PdeClass>

    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeOperator:public TridiagonalOperator {

    public:

        template <class T>

        PdeOperator(const Array& grid,

                    T process,

                    Time residualTime = 0.0) :

            TridiagonalOperator(grid.size()) {

            QL_DEPRECATED_DISABLE_WARNING

            timeSetter_ =

                ext::shared_ptr<GenericTimeSetter<PdeClass> >(

                     new GenericTimeSetter<PdeClass>(grid, std::move(process)));

            QL_DEPRECATED_ENABLE_WARNING

            setTime(residualTime);

        }

    };

}

#endif