/src/quantlib/ql/methods/finitedifferences/operators/fdmcevop.cpp
Line | Count | Source (jump to first uncovered line) |
1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2018 Klaus Spanderen |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <https://www.quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | /*! \file fdmcevop.cpp */ |
21 | | |
22 | | #include <ql/termstructures/yieldtermstructure.hpp> |
23 | | #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp> |
24 | | #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp> |
25 | | #include <ql/methods/finitedifferences/operators/fdmcevop.hpp> |
26 | | #include <ql/methods/finitedifferences/operators/firstderivativeop.hpp> |
27 | | #include <ql/methods/finitedifferences/operators/secondderivativeop.hpp> |
28 | | |
29 | | |
30 | | namespace QuantLib { |
31 | | |
32 | | FdmCEVOp::FdmCEVOp( |
33 | | const ext::shared_ptr<FdmMesher>& mesher, |
34 | | const ext::shared_ptr<YieldTermStructure>& rTS, |
35 | | Real f0, Real alpha, Real beta, |
36 | | Size direction) |
37 | 0 | : rTS_(rTS), |
38 | 0 | direction_(direction), |
39 | 0 | dxxMap_(SecondDerivativeOp(0, mesher) |
40 | 0 | .mult(0.5 * alpha * alpha * |
41 | 0 | Pow(mesher->locations(direction), 2.0 * beta))), |
42 | 0 | mapT_(direction, mesher) { |
43 | 0 | } |
44 | | |
45 | 0 | Size FdmCEVOp::size() const { return 1U; } |
46 | | |
47 | 0 | void FdmCEVOp::setTime(Time t1, Time t2) { |
48 | 0 | const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate(); |
49 | 0 | mapT_.axpyb(Array(), dxxMap_, dxxMap_, Array(1, -r)); |
50 | 0 | } |
51 | | |
52 | 0 | Array FdmCEVOp::apply(const Array& r) const { |
53 | 0 | return mapT_.apply(r); |
54 | 0 | } |
55 | | |
56 | 0 | Array FdmCEVOp::apply_mixed(const Array& r) const { |
57 | 0 | return Array(r.size(), 0.0); |
58 | 0 | } |
59 | | |
60 | 0 | Array FdmCEVOp::apply_direction(Size direction, const Array& r) const { |
61 | 0 | if (direction == direction_) { |
62 | 0 | return mapT_.apply(r); |
63 | 0 | } |
64 | 0 | else { |
65 | 0 | return Array(r.size(), 0.0); |
66 | 0 | } |
67 | 0 | } |
68 | | |
69 | 0 | Array FdmCEVOp::solve_splitting(Size direction, const Array& r, Real a) const { |
70 | 0 | if (direction == direction_) { |
71 | 0 | return mapT_.solve_splitting(r, a, 1.0); |
72 | 0 | } |
73 | 0 | else { |
74 | 0 | return Array(r.size(), 0.0); |
75 | 0 | } |
76 | 0 | } |
77 | | |
78 | 0 | Array FdmCEVOp::preconditioner(const Array& r, Real dt) const { |
79 | 0 | return solve_splitting(direction_, r, dt); |
80 | 0 | } |
81 | | |
82 | 0 | std::vector<SparseMatrix> FdmCEVOp::toMatrixDecomp() const { |
83 | 0 | return std::vector<SparseMatrix>(1, mapT_.toMatrix()); |
84 | 0 | } |
85 | | |
86 | | } |
87 | | |