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

/*

 Copyright (C) 2010 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 fdmbatesop.hpp

    \brief Bates linear operator

*/

#ifndef quantlib_fdm_bates_op_hpp

#define quantlib_fdm_bates_op_hpp

#include <ql/math/integrals/gaussianquadratures.hpp>

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

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

namespace QuantLib {

    class LinearInterpolation;

    class BatesProcess;

    class FdmBatesOp : public FdmLinearOpComposite {

      public:

        FdmBatesOp(const ext::shared_ptr<FdmMesher>& mesher,

                   const ext::shared_ptr<BatesProcess>& batesProcess,

                   FdmBoundaryConditionSet bcSet,

                   Size integroIntegrationOrder,

                   const ext::shared_ptr<FdmQuantoHelper>& quantoHelper =

                       ext::shared_ptr<FdmQuantoHelper>());

        Size size() const override;

        void setTime(Time t1, Time t2) override;

        Array apply(const Array& r) const override;

        Array apply_mixed(const Array& r) const override;

        Array apply_direction(Size direction, const Array& r) const override;

        Array solve_splitting(Size direction, const Array& r, Real s) const override;

        Array preconditioner(const Array& r, Real s) const override;

        std::vector<SparseMatrix> toMatrixDecomp() const override;

      private:

        class IntegroIntegrand {

          public:

            IntegroIntegrand(const ext::shared_ptr<LinearInterpolation>& i,

                             const FdmBoundaryConditionSet& bcSet,

                             Real x, Real delta, Real nu);

            Real operator()(Real y) const;

          private:

            const Real x_, delta_, nu_;

            const FdmBoundaryConditionSet& bcSet_;

            const ext::shared_ptr<LinearInterpolation>& interpl_;

        };

        Array integro(const Array& r) const;  

        Array x_, weights_;

        const Real lambda_, delta_, nu_, m_;

        GaussHermiteIntegration gaussHermiteIntegration_;

        const ext::shared_ptr<FdmMesher> mesher_;

        const FdmBoundaryConditionSet bcSet_;

        const ext::shared_ptr<FdmHestonOp> hestonOp_;

    };

    // inline

    inline Size FdmBatesOp::size() const {

        return hestonOp_->size();

    }

    inline void FdmBatesOp::setTime(Time t1, Time t2) {

        hestonOp_->setTime(t1, t2);

    }

    inline Array FdmBatesOp::apply(const Array& r) const {

        return hestonOp_->apply(r) + integro(r);

    }

    inline Array FdmBatesOp::apply_mixed(const Array& r) const {

        return hestonOp_->apply_mixed(r) + integro(r);

    }

    inline Array FdmBatesOp::apply_direction(Size direction,

                                             const Array& r) const {

        return hestonOp_->apply_direction(direction, r);

    }

    inline Array FdmBatesOp::solve_splitting(Size direction,

                                             const Array& r,

                                             Real s) const{

        return hestonOp_->solve_splitting(direction, r, s);

    }

    inline Array FdmBatesOp::preconditioner(const Array& r,

                                            Real s) const {

        return hestonOp_->preconditioner(r, s);

    }

}

#endif