Coverage Report

Created: 2025-11-04 06:12

next uncovered line (L), next uncovered region (R), next uncovered branch (B)
/src/quantlib/ql/methods/finitedifferences/operators/fdmg2op.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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 Copyright (C) 2011 Klaus Spanderen
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 This file is part of QuantLib, a free-software/open-source library
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 for financial quantitative analysts and developers - http://quantlib.org/
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 QuantLib is free software: you can redistribute it and/or modify it
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 under the terms of the QuantLib license.  You should have received a
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 copy of the license along with this program; if not, please email
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 <https://www.quantlib.org/license.shtml>.
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 This program is distributed in the hope that it will be useful, but WITHOUT
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 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
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*/
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/*! \file fdmg2op.cpp */
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#include <ql/models/shortrate/twofactormodels/g2.hpp>
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#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
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#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
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#include <ql/methods/finitedifferences/operators/fdmg2op.hpp>
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#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
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#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
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#include <ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp>
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namespace QuantLib {
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    FdmG2Op::FdmG2Op(
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        const ext::shared_ptr<FdmMesher>& mesher,
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        const ext::shared_ptr<G2>& model,
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        Size direction1, Size direction2)
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    : direction1_(direction1),
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      direction2_(direction2),
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      x_(mesher->locations(direction1)),
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      y_(mesher->locations(direction2)),
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      dxMap_(FirstDerivativeOp(direction1, mesher).mult(-x_*model->a()).add(
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                SecondDerivativeOp(direction1, mesher)
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                    .mult(0.5*model->sigma()*model->sigma()
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                          *Array(mesher->layout()->size(), 1.0)))),
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      dyMap_(FirstDerivativeOp(direction2, mesher).mult(-y_*model->b()).add(
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                SecondDerivativeOp(direction2, mesher)
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                    .mult(0.5*model->eta()*model->eta()
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                          *Array(mesher->layout()->size(), 1.0)))),
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      corrMap_(SecondOrderMixedDerivativeOp(direction1, direction2, mesher)
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              .mult(Array(mesher->layout()->size(),
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                          model->rho()*model->sigma()*model->eta()))),
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      mapX_(direction1, mesher),
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      mapY_(direction2, mesher),
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      model_(model) {
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    }
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    Size FdmG2Op::size() const { return 2U; }
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    void FdmG2Op::setTime(Time t1, Time t2) {
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        const ext::shared_ptr<TwoFactorModel::ShortRateDynamics> dynamics =
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            model_->dynamics();
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        const Real phi = 0.5*(  dynamics->shortRate(t1, 0.0, 0.0)
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                              + dynamics->shortRate(t2, 0.0, 0.0));
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        const Array hr = -0.5*(x_ + y_ + phi);
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        mapX_.axpyb(Array(), dxMap_, dxMap_, hr);
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        mapY_.axpyb(Array(), dyMap_, dyMap_, hr);
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    }
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    Array FdmG2Op::apply(const Array& r) const {
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        return mapX_.apply(r) + mapY_.apply(r) + apply_mixed(r);
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    }
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    Array FdmG2Op::apply_mixed(const Array& r) const {
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        return corrMap_.apply(r);
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    }
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    Array FdmG2Op::apply_direction(Size direction, const Array& r) const {
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        if (direction == direction1_) {
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            return mapX_.apply(r);
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        }
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        else if (direction == direction2_) {
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            return mapY_.apply(r);
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        }
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        else {
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            return Array(r.size(), 0.0);
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        }
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    }
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    Array FdmG2Op::solve_splitting(Size direction, const Array& r, Real a) const {
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        if (direction == direction1_) {
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            return mapX_.solve_splitting(r, a, 1.0);
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        }
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        else if (direction == direction2_) {
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            return mapY_.solve_splitting(r, a, 1.0);
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        }
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        else {
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            return Array(r.size(), 0.0);
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        }
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    }
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    Array FdmG2Op::preconditioner(const Array& r, Real dt) const {
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        return solve_splitting(direction1_, r, dt);
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    }
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    std::vector<SparseMatrix> FdmG2Op::toMatrixDecomp() const {
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        return {
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            mapX_.toMatrix(),
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            mapY_.toMatrix(),
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            corrMap_.toMatrix()
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        };
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    }
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}
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