text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2015 Johannes Göttker-Schnetmann
   Copyright (C) 2015 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
   <http://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/functional.hpp>
  #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
  #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
  #include <ql/methods/finitedifferences/operators/fdmlocalvolfwdop.hpp>
  #include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
  #include <utility>
  
  namespace QuantLib {
  
      FdmLocalVolFwdOp::FdmLocalVolFwdOp(const ext::shared_ptr<FdmMesher>& mesher,
                                         const ext::shared_ptr<Quote>& spot,
                                         ext::shared_ptr<YieldTermStructure> rTS,
                                         ext::shared_ptr<YieldTermStructure> qTS,
                                         const ext::shared_ptr<LocalVolTermStructure>& localVol,
                                         Size direction)
      : mesher_(mesher), rTS_(std::move(rTS)), qTS_(std::move(qTS)), localVol_(localVol),
        x_((localVol) != nullptr ? Array(Exp(mesher->locations(direction))) : Array()),
        dxMap_(FirstDerivativeOp(direction, mesher)), dxxMap_(SecondDerivativeOp(direction, mesher)),
        mapT_(direction, mesher), direction_(direction) {}
  
      void FdmLocalVolFwdOp::setTime(Time t1, Time t2) {
          const Rate r = rTS_->forwardRate(t1, t2, Continuous).rate();
          const Rate q = qTS_->forwardRate(t1, t2, Continuous).rate();
  
          const ext::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
          const FdmLinearOpIterator endIter = layout->end();
  
          Array v(layout->size());
          for (FdmLinearOpIterator iter = layout->begin();
              iter != endIter; ++iter) {
              const Size i = iter.index();
  
              v[i] = square<Real>()(
                  localVol_->localVol(0.5*(t1+t2), x_[i], true));
          }
          mapT_.axpyb(Array(1, 1.0), dxMap_.multR(- r + q + 0.5*v),
                      dxxMap_.multR(0.5*v), Array(1, 0.0));
      }
  
      Size FdmLocalVolFwdOp::size() const { return 1U; }
  
      Disposable<Array> FdmLocalVolFwdOp::apply(const Array& u) const {
          return mapT_.apply(u);
      }
  
      Disposable<Array> FdmLocalVolFwdOp::apply_direction(
          Size direction, const Array& r) const {
          if (direction == direction_)
              return mapT_.apply(r);
          else {
              Array retVal(r.size(), 0.0);
              return retVal;
          }
      }
  
      Disposable<Array> FdmLocalVolFwdOp::apply_mixed(const Array& r) const {
          Array retVal(r.size(), 0.0);
          return retVal;
      }
  
      Disposable<Array> FdmLocalVolFwdOp::solve_splitting(
          Size direction, const Array& r, Real dt) const {
          if (direction == direction_)
              return mapT_.solve_splitting(r, dt, 1.0);
          else {
              Array retVal(r);
              return retVal;
          }
      }
  
      Disposable<Array> FdmLocalVolFwdOp::preconditioner(
          const Array& r, Real dt) const {
          return solve_splitting(direction_, r, dt);
      }
  
  #if !defined(QL_NO_UBLAS_SUPPORT)
      Disposable<std::vector<SparseMatrix> >
      FdmLocalVolFwdOp::toMatrixDecomp() const {
          std::vector<SparseMatrix> retVal(1, mapT_.toMatrix());
          return retVal;
      }
  #endif
  }
  