/* -*- 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

 <https://www.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.

*/

#include <ql/math/interpolations/bicubicsplineinterpolation.hpp>

#include <ql/math/interpolations/cubicinterpolation.hpp>

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

#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

#include <utility>

namespace QuantLib {

    Fdm3DimSolver::Fdm3DimSolver(const FdmSolverDesc& solverDesc,

                                 const FdmSchemeDesc& schemeDesc,

                                 ext::shared_ptr<FdmLinearOpComposite> op)

    : solverDesc_(solverDesc), schemeDesc_(schemeDesc), op_(std::move(op)),

      thetaCondition_(ext::make_shared<FdmSnapshotCondition>(

          0.99 * std::min(1.0 / 365.0,

                          solverDesc.condition->stoppingTimes().empty() ?

                              solverDesc.maturity :

                              solverDesc.condition->stoppingTimes().front()))),

      conditions_(FdmStepConditionComposite::joinConditions(thetaCondition_, solverDesc.condition)),

      initialValues_(solverDesc.mesher->layout()->size()),

      resultValues_(

          solverDesc.mesher->layout()->dim()[2],

          Matrix(solverDesc.mesher->layout()->dim()[1], solverDesc.mesher->layout()->dim()[0])),

      interpolation_(solverDesc.mesher->layout()->dim()[2]) {

        x_.reserve(solverDesc.mesher->layout()->dim()[0]);

        y_.reserve(solverDesc.mesher->layout()->dim()[1]);

        z_.reserve(solverDesc.mesher->layout()->dim()[2]);

        for (const auto& iter : *solverDesc.mesher->layout()) {

            initialValues_[iter.index()]

               = solverDesc.calculator->avgInnerValue(iter,

                                                      solverDesc.maturity);

            if ((iter.coordinates()[1] == 0U) && (iter.coordinates()[2] == 0U)) {

                x_.push_back(solverDesc.mesher->location(iter, 0));

            }

            if ((iter.coordinates()[0] == 0U) && (iter.coordinates()[2] == 0U)) {

                y_.push_back(solverDesc.mesher->location(iter, 1));

            }

            if ((iter.coordinates()[0] == 0U) && (iter.coordinates()[1] == 0U)) {

                z_.push_back(solverDesc.mesher->location(iter, 2));

            }

        }

    }

Unexecuted instantiation: QuantLib::Fdm3DimSolver::Fdm3DimSolver(QuantLib::FdmSolverDesc const&, QuantLib::FdmSchemeDesc const&, boost::shared_ptr<QuantLib::FdmLinearOpComposite>)

Unexecuted instantiation: QuantLib::Fdm3DimSolver::Fdm3DimSolver(QuantLib::FdmSolverDesc const&, QuantLib::FdmSchemeDesc const&, boost::shared_ptr<QuantLib::FdmLinearOpComposite>)

    void Fdm3DimSolver::performCalculations() const {

        Array rhs(initialValues_.size());

        std::copy(initialValues_.begin(), initialValues_.end(), rhs.begin());

        FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)

             .rollback(rhs, solverDesc_.maturity, 0.0,

                       solverDesc_.timeSteps, solverDesc_.dampingSteps);

        for (Size i=0; i < z_.size(); ++i) {

            std::copy(rhs.begin()+i    *y_.size()*x_.size(),

                      rhs.begin()+(i+1)*y_.size()*x_.size(),

                      resultValues_[i].begin());

            interpolation_[i] = ext::make_shared<BicubicSpline>(x_.begin(), x_.end(),

                                  y_.begin(), y_.end(),

                                  resultValues_[i]);

        }

    }

    Real Fdm3DimSolver::interpolateAt(Real x, Real y, Rate z) const {

        calculate();

        Array zArray(z_.size());

        for (Size i=0; i < z_.size(); ++i) {

            zArray[i] = (*interpolation_[i])(x, y);

        }

        return MonotonicCubicNaturalSpline(z_.begin(), z_.end(),

                                           zArray.begin())(z);

    }

    Real Fdm3DimSolver::thetaAt(Real x, Real y, Rate z) const {

        if (conditions_->stoppingTimes().front() == 0.0)

            return Null<Real>();

        calculate();

        const Array& rhs = thetaCondition_->getValues();

        std::vector<Matrix> thetaValues(z_.size(), Matrix(y_.size(),x_.size()));

        for (Size i=0; i < z_.size(); ++i) {

            std::copy(rhs.begin()+i    *y_.size()*x_.size(),

                      rhs.begin()+(i+1)*y_.size()*x_.size(),

                      thetaValues[i].begin());

        }

        Array zArray(z_.size());

        for (Size i=0; i < z_.size(); ++i) {

            zArray[i] = BicubicSpline(x_.begin(),x_.end(),

                                      y_.begin(),y_.end(), thetaValues[i])(x,y);

        }

        return (MonotonicCubicNaturalSpline(z_.begin(), z_.end(),

                                            zArray.begin())(z)

                - interpolateAt(x, y, z)) / thetaCondition_->getTime();

    }

}