text: /* -*- 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
   <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.
  */
  
  /*! \file fdmhullwhiteop.cpp */
  
  
  #include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
  #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
  #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
  #include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>
  #include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
  #include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
  
  namespace QuantLib {
  
      FdmHullWhiteOp::FdmHullWhiteOp(
          const ext::shared_ptr<FdmMesher>& mesher,
          const ext::shared_ptr<HullWhite>& model,
          Size direction)
      : direction_(direction),
        x_(mesher->locations(direction)),
        dzMap_(FirstDerivativeOp(direction, mesher).mult(-x_*model->a()).add(
                  SecondDerivativeOp(direction, mesher)
                      .mult(0.5*model->sigma()*model->sigma()
                            *Array(mesher->layout()->size(), 1.0)))),
        mapT_(direction, mesher),
        model_(model) {
      }
  
      Size FdmHullWhiteOp::size() const { return 1U; }
  
      void FdmHullWhiteOp::setTime(Time t1, Time t2) {
  
          const ext::shared_ptr<OneFactorModel::ShortRateDynamics> dynamics =
              model_->dynamics();
  
          const Real phi = 0.5*(  dynamics->shortRate(t1, 0.0)
                                + dynamics->shortRate(t2, 0.0));
  
          mapT_.axpyb(Array(), dzMap_, dzMap_, -(x_+phi));
      }
  
      Array FdmHullWhiteOp::apply(const Array& r) const {
          return mapT_.apply(r);
      }
  
      Array FdmHullWhiteOp::apply_mixed(const Array& r) const {
          return Array(r.size(), 0.0);
      }
  
      Array FdmHullWhiteOp::apply_direction(Size direction, const Array& r) const {
          if (direction == direction_)
              return mapT_.apply(r);
          else {
              return Array(r.size(), 0.0);
          }
      }
  
      Array FdmHullWhiteOp::solve_splitting(Size direction, const Array& r, Real a) const {
          if (direction == direction_) {
              return mapT_.solve_splitting(r, a, 1.0);
          }
          else {
              return Array(r.size(), 0.0);
          }
      }
  
      Array FdmHullWhiteOp::preconditioner(const Array& r, Real dt) const {
          return solve_splitting(direction_, r, dt);
      }
  
      std::vector<SparseMatrix> FdmHullWhiteOp::toMatrixDecomp() const {
          return std::vector<SparseMatrix>(1, mapT_.toMatrix());
      }
  
  }
  
  