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

/*

 Copyright (C) 2011 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 fdmklugeextousolver.hpp

    \brief Kluge/extended Ornstein-Uhlenbeck FDM solver

*/

#ifndef quantlib_fdm_kluge_ou_solver_hpp

#define quantlib_fdm_kluge_ou_solver_hpp

#include <ql/experimental/finitedifferences/fdmklugeextouop.hpp>

#include <ql/experimental/processes/klugeextouprocess.hpp>

#include <ql/handle.hpp>

#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>

#include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>

#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>

#include <ql/patterns/lazyobject.hpp>

#include <utility>

namespace QuantLib {

    class ExtOUWithJumpsProcess;

    class ExtendedOrnsteinUhlenbeckProcess;

    template <Size N=3>

    class FdmKlugeExtOUSolver : public LazyObject {

      public:

        FdmKlugeExtOUSolver(Handle<KlugeExtOUProcess> klugeOUProcess,

                            ext::shared_ptr<YieldTermStructure> rTS,

                            FdmSolverDesc solverDesc,

                            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer())

        : klugeOUProcess_(std::move(klugeOUProcess)), rTS_(std::move(rTS)),

          solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc) {

            registerWith(klugeOUProcess_);

        }

Unexecuted instantiation: QuantLib::FdmKlugeExtOUSolver<3ul>::FdmKlugeExtOUSolver(QuantLib::Handle<QuantLib::KlugeExtOUProcess>, boost::shared_ptr<QuantLib::YieldTermStructure>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&)

Unexecuted instantiation: QuantLib::FdmKlugeExtOUSolver<4ul>::FdmKlugeExtOUSolver(QuantLib::Handle<QuantLib::KlugeExtOUProcess>, boost::shared_ptr<QuantLib::YieldTermStructure>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&)

        Real valueAt(const std::vector<Real>& x) const {

            calculate();

            return solver_->interpolateAt(x);

        }

Unexecuted instantiation: QuantLib::FdmKlugeExtOUSolver<3ul>::valueAt(std::__1::vector<double, std::__1::allocator<double> > const&) const

Unexecuted instantiation: QuantLib::FdmKlugeExtOUSolver<4ul>::valueAt(std::__1::vector<double, std::__1::allocator<double> > const&) const

      protected:

        void performCalculations() const override {

            ext::shared_ptr<FdmLinearOpComposite>op(

                new FdmKlugeExtOUOp(solverDesc_.mesher,

                                    klugeOUProcess_.currentLink(),

                                    rTS_, solverDesc_.bcSet, 16));

            solver_ = ext::shared_ptr<FdmNdimSolver<N> >(

                          new FdmNdimSolver<N>(solverDesc_, schemeDesc_, op));

        }

Unexecuted instantiation: QuantLib::FdmKlugeExtOUSolver<3ul>::performCalculations() const

Unexecuted instantiation: QuantLib::FdmKlugeExtOUSolver<4ul>::performCalculations() const

      private:

        const Handle<KlugeExtOUProcess> klugeOUProcess_;

        const ext::shared_ptr<YieldTermStructure> rTS_;

        const FdmSolverDesc solverDesc_;

        const FdmSchemeDesc schemeDesc_;

        mutable ext::shared_ptr<FdmNdimSolver<N> > solver_;

        BOOST_STATIC_ASSERT(N >= 3); // NOLINT(readability-simplify-boolean-expr)

                                     // KlugeExtOU solver can't be applied on meshes

                                     // with less than three dimensions

    };

}

#endif