Deprecate some unused parts of the old FD framework

lballabio · Oct 9, 2024 · 6a37dda · 6a37dda
1 parent 55c163c
commit 6a37dda
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Showing 8 changed files with 83 additions and 15 deletions.
diff --git a/ql/grid.hpp b/ql/grid.hpp
@@ -28,10 +28,28 @@
 
 namespace QuantLib {
 
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
+    [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]]
     Array CenteredGrid(Real center, Real dx, Size steps);
+
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
+    [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]]
     Array BoundedGrid(Real xMin, Real xMax, Size steps);
+
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
+    [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]]
     Array BoundedLogGrid(Real xMin, Real xMax, Size steps);
 
+
     // inline definitions
 
     inline Array CenteredGrid(Real center, Real dx, Size steps) {

diff --git a/ql/math/transformedgrid.hpp b/ql/math/transformedgrid.hpp
@@ -30,11 +30,11 @@
 
 namespace QuantLib {
 
-    //! transformed grid
-    /*! This package encapuslates an array of grid points.  It is used primarily
-     in PDE calculations.
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
     */
-    class TransformedGrid {
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] TransformedGrid {
     public:
         TransformedGrid (const Array &grid) :
             grid_(grid), transformedGrid_(grid),
@@ -93,14 +93,23 @@ namespace QuantLib {
         Array dx_;
     };
 
-    class LogGrid : public TransformedGrid {
+
+    QL_DEPRECATED_DISABLE_WARNING
+
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] LogGrid : public TransformedGrid {
     public:
         LogGrid(const Array &grid) :
             TransformedGrid(grid, [](Real x) -> Real { return std::log(x); }){};
         const Array & logGridArray() const { return transformedGridArray();}
         Real logGrid(Size i) const { return transformedGrid(i);}
     };
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
 
 

diff --git a/ql/methods/finitedifferences/bsmoperator.cpp b/ql/methods/finitedifferences/bsmoperator.cpp
@@ -38,7 +38,9 @@ namespace QuantLib {
     BSMOperator::BSMOperator(const Array& grid,
                              Rate r, Rate q, Volatility sigma)
     : TridiagonalOperator(grid.size()) {
+        QL_DEPRECATED_DISABLE_WARNING
         PdeBSM::grid_type logGrid(grid);
+        QL_DEPRECATED_ENABLE_WARNING
         Real sigma2 = sigma*sigma;
         Real nu = r-q-sigma2/2;
         for (Size i=1; i<logGrid.size()-1; ++i) {

diff --git a/ql/methods/finitedifferences/bsmoperator.hpp b/ql/methods/finitedifferences/bsmoperator.hpp
@@ -30,9 +30,11 @@
 
 namespace QuantLib {
 
-    //! Black-Scholes-Merton differential operator
-    /*! \ingroup findiff */
-    class BSMOperator : public TridiagonalOperator {
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] BSMOperator : public TridiagonalOperator {
       public:
         BSMOperator() = default;
         BSMOperator(Size size, Real dx, Rate r, Rate q, Volatility sigma);

diff --git a/ql/methods/finitedifferences/pde.hpp b/ql/methods/finitedifferences/pde.hpp
@@ -29,12 +29,18 @@
 #include <ql/math/transformedgrid.hpp>
 
 namespace QuantLib {
-    class PdeSecondOrderParabolic {
+
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeSecondOrderParabolic {
     public:
       virtual ~PdeSecondOrderParabolic() = default;
       virtual Real diffusion(Time t, Real x) const = 0;
       virtual Real drift(Time t, Real x) const = 0;
       virtual Real discount(Time t, Real x) const = 0;
+      QL_DEPRECATED_DISABLE_WARNING
       virtual void
       generateOperator(Time t, const TransformedGrid& tg, TridiagonalOperator& L) const {
           for (Size i = 1; i < tg.size() - 1; i++) {
@@ -51,8 +57,12 @@ namespace QuantLib {
         }
     };
 
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
     template <class PdeClass>
-    class PdeConstantCoeff : public PdeSecondOrderParabolic  {
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeConstantCoeff : public PdeSecondOrderParabolic  {
     public:
         PdeConstantCoeff(const typename PdeClass::argument_type &process,
                          Time t, Real x) {
@@ -71,8 +81,14 @@ namespace QuantLib {
         Real discount_;
     };
 
+    QL_DEPRECATED_ENABLE_WARNING
+
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
     template <class PdeClass>
-    class GenericTimeSetter:public TridiagonalOperator::TimeSetter {
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] GenericTimeSetter:public TridiagonalOperator::TimeSetter {
     public:
         template <class T>
         GenericTimeSetter(const Array &grid, T process) :
@@ -86,17 +102,23 @@ namespace QuantLib {
         PdeClass pde_;
     };
 
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
     template <class PdeClass>
-    class PdeOperator:public TridiagonalOperator {
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeOperator:public TridiagonalOperator {
     public:
         template <class T>
         PdeOperator(const Array& grid,
                     T process,
                     Time residualTime = 0.0) :
             TridiagonalOperator(grid.size()) {
+            QL_DEPRECATED_DISABLE_WARNING
             timeSetter_ =
                 ext::shared_ptr<GenericTimeSetter<PdeClass> >(
                      new GenericTimeSetter<PdeClass>(grid, process));
+            QL_DEPRECATED_ENABLE_WARNING
             setTime(residualTime);
         }
     };

diff --git a/ql/methods/finitedifferences/pdebsm.hpp b/ql/methods/finitedifferences/pdebsm.hpp
@@ -30,10 +30,15 @@
 
 namespace QuantLib {
 
-    class PdeBSM : public PdeSecondOrderParabolic {
+    QL_DEPRECATED_DISABLE_WARNING
+
+    /*! \deprecated Part of the old FD framework; copy this function
+                    in your codebase if needed.
+                    Deprecated in version 1.37.
+    */
+    class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeBSM : public PdeSecondOrderParabolic {
       public:
-        typedef ext::shared_ptr<GeneralizedBlackScholesProcess>
-                                                                argument_type;
+        typedef ext::shared_ptr<GeneralizedBlackScholesProcess> argument_type;
         typedef LogGrid grid_type;
         PdeBSM(argument_type process) : process_(std::move(process)){};
         Real diffusion(Time t, Real x) const override { return process_->diffusion(t, x); }
@@ -48,6 +53,8 @@ namespace QuantLib {
         const argument_type process_;
     };
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
 
 

diff --git a/test-suite/operators.cpp b/test-suite/operators.cpp
@@ -168,6 +168,8 @@ BOOST_AUTO_TEST_CASE(testConsistency) {
 BOOST_AUTO_TEST_CASE(testBSMOperatorConsistency) {
     BOOST_TEST_MESSAGE("Testing consistency of BSM operators...");
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     Array grid(10);
     Real price = 20.0;
     Real factor = 1.1;
@@ -198,6 +200,7 @@ BOOST_AUTO_TEST_CASE(testBSMOperatorConsistency) {
                                        Handle<YieldTermStructure>(qTS),
                                        Handle<YieldTermStructure>(rTS),
                                        Handle<BlackVolTermStructure>(volTS)));
+
     PdeOperator<PdeBSM> op2(grid, stochProcess, residualTime);
 
     Real tolerance = 1.0e-6;
@@ -222,6 +225,9 @@ BOOST_AUTO_TEST_CASE(testBSMOperatorConsistency) {
                        << op2.upperDiagonal()[i]);
         }
     }
+
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
 
 BOOST_AUTO_TEST_SUITE_END()

diff --git a/test-suite/transformedgrid.cpp b/test-suite/transformedgrid.cpp
@@ -40,8 +40,10 @@ BOOST_AUTO_TEST_CASE(testConstruction) {
     BOOST_TEST_MESSAGE("Testing transformed grid construction...");
 
     PlusOne p1;
+    QL_DEPRECATED_DISABLE_WARNING
     Array grid = BoundedGrid(0, 100, 100);
     TransformedGrid tg(grid, p1);
+    QL_DEPRECATED_ENABLE_WARNING
     if (std::fabs(tg.grid(0) - 0.0) > 1e-5) {
         BOOST_ERROR("grid creation failed");
     }