Disposable<Array> FdmExtOUJumpOp::integro(const Array& r) const {
Array integral(r.size());
const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
const Size extraDims=layout->size()/(layout->dim()[0]*layout->dim()[1]);
std::vector<Array> y(extraDims, Array(layout->dim()[1]));
std::vector<Matrix> f(extraDims,
Matrix(layout->dim()[1], layout->dim()[0]));
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
const Size i = iter.coordinates()[0];
const Size j = iter.coordinates()[1];
const Size k = iter.index() / (layout->dim()[0]*layout->dim()[1]);
y[k][j] = mesher_->location(iter, 1);
f[k][j][i] = r[iter.index()];
}
std::vector<std::vector<boost::shared_ptr<LinearInterpolation> > >
interpl(extraDims, std::vector<
boost::shared_ptr<LinearInterpolation> >(f[0].columns()));
for (Size k=0; k < extraDims; ++k) {
for (Size i=0; i < f[k].columns(); ++i) {
interpl[k][i] = boost::shared_ptr<LinearInterpolation>(
new LinearInterpolation(y[k].begin(), y[k].end(),
f[k].column_begin(i)));
}
}
const Real eta = process_->eta();
for (FdmLinearOpIterator iter=layout->begin(); iter!=endIter; ++iter) {
const Size i = iter.coordinates()[0];
const Size j = iter.coordinates()[1];
const Size k = iter.index() / (layout->dim()[0]*layout->dim()[1]);
integral[iter.index()] = gaussLaguerreIntegration_(
IntegroIntegrand(interpl[k][i], bcSet_, y[k][j], eta));
}
return process_->jumpIntensity()*(integral-r);
}
Disposable<Array> FdmBatesOp::integro(const Array& r) const {
const shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
QL_REQUIRE(layout->dim().size() == 2, "invalid layout dimension");
Array x(layout->dim()[0]);
Matrix f(layout->dim()[1], layout->dim()[0]);
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
const Size i = iter.coordinates()[0];
const Size j = iter.coordinates()[1];
x[i] = mesher_->location(iter, 0);
f[j][i] = r[iter.index()];
}
std::vector<shared_ptr<LinearInterpolation> > interpl(f.rows());
for (Size i=0; i < f.rows(); ++i) {
interpl[i] = shared_ptr<LinearInterpolation>(
new LinearInterpolation(x.begin(), x.end(), f.row_begin(i)));
}
Array integral(r.size());
for (FdmLinearOpIterator iter=layout->begin(); iter!=endIter; ++iter) {
const Size i = iter.coordinates()[0];
const Size j = iter.coordinates()[1];
integral[iter.index()] = M_1_SQRTPI*
gaussHermiteIntegration_(
IntegroIntegrand(interpl[j], bcSet_, x[i], delta_, nu_));
}
return lambda_*(integral-r);
}
