/* -*- 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.

*/

/*! \file fdmextendedornsteinuhlenbeckop.cpp

*/

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

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

#include <ql/math/functional.hpp>

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

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

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

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

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    FdmExtendedOrnsteinUhlenbeckOp::FdmExtendedOrnsteinUhlenbeckOp(

        const ext::shared_ptr<FdmMesher>& mesher,

        ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process,

        ext::shared_ptr<YieldTermStructure> rTS,

        FdmBoundaryConditionSet bcSet,

        Size direction)

    : mesher_(mesher), process_(std::move(process)), rTS_(std::move(rTS)), bcSet_(std::move(bcSet)),

      direction_(direction), x_(mesher->locations(direction)), dxMap_(direction, mesher),

      dxxMap_(SecondDerivativeOp(direction, mesher)

                  .mult(0.5 * squared(process_->volatility()) *

                        Array(mesher->layout()->size(), 1.))),

      mapX_(direction, mesher) {}

    Size FdmExtendedOrnsteinUhlenbeckOp::size() const {

        return mesher_->layout()->dim().size();;

    }

    void FdmExtendedOrnsteinUhlenbeckOp::setTime(Time t1, Time t2) {

        const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate();

        Array drift(mesher_->layout()->size());

        for (const auto& iter : *mesher_->layout()) {

            const Size i = iter.index();

            drift[i] = process_->drift(0.5*(t1+t2), x_[i]);

        }

        mapX_.axpyb(drift, dxMap_, dxxMap_, Array(1, -r));

    }

    Array FdmExtendedOrnsteinUhlenbeckOp::apply(const Array& r) const {

        return mapX_.apply(r);

    }

    Array FdmExtendedOrnsteinUhlenbeckOp::apply_mixed(const Array& r) const {

        return Array(r.size(), 0.0);

    }

    Array FdmExtendedOrnsteinUhlenbeckOp::apply_direction(

                                    Size direction, const Array& r) const {

        if (direction == direction_) {

            return mapX_.apply(r);

        }

        else {

            return Array(r.size(), 0.0);

        }

    }

    Array FdmExtendedOrnsteinUhlenbeckOp::solve_splitting(

                            Size direction, const Array& r, Real a) const {

        if (direction == direction_) {

            return mapX_.solve_splitting(r, a, 1.0);

        }

        else {

            return r;

        }

    }

    Array FdmExtendedOrnsteinUhlenbeckOp::preconditioner(

                                            const Array& r, Real dt) const {

        return solve_splitting(direction_, r, dt);

    }

    std::vector<SparseMatrix> FdmExtendedOrnsteinUhlenbeckOp::toMatrixDecomp() const {

        return std::vector<SparseMatrix>(1, mapX_.toMatrix());

    }

}