Remove check on Boost::uBLAS availability.

acinclude.m4

@@ -100,31 +100,6 @@ AC_DEFUN([QL_CHECK_BOOST_VERSION_1_59_OR_HIGHER],
     ])
 ])
 
-
-
-# QL_CHECK_BOOST_UBLAS
-# --------------------
-# Check whether the Boost headers are available
-AC_DEFUN([QL_CHECK_BOOST_UBLAS],
-[AC_MSG_CHECKING([for Boost::uBLAS support])
- AC_COMPILE_IFELSE(
-    [AC_LANG_PROGRAM(
-        [[@%:@include <boost/version.hpp>
-          @%:@if BOOST_VERSION > 106300
-          @%:@include <boost/serialization/array_wrapper.hpp>
-          @%:@endif
-          @%:@include <boost/numeric/ublas/vector_proxy.hpp>
-          @%:@include <boost/numeric/ublas/triangular.hpp>
-          @%:@include <boost/numeric/ublas/lu.hpp>]],
-        [[]])],
-    [AC_MSG_RESULT([yes])],
-    [AC_MSG_RESULT([no])
-     AC_MSG_WARN([Some functionality will be disabled.])
-     AC_DEFINE([QL_NO_UBLAS_SUPPORT],[],
-               [Define this if your compiler does not support Boost::uBLAS.])
-    ])
-])
-
 # QL_CHECK_BOOST_UNIT_TEST
 # ------------------------
 # Check whether the Boost unit-test framework is available
@@ -303,7 +278,6 @@ AC_DEFUN([QL_CHECK_BOOST_TEST_INTERPROCESS],
 AC_DEFUN([QL_CHECK_BOOST],
 [AC_REQUIRE([QL_CHECK_BOOST_DEVEL])
  AC_REQUIRE([QL_CHECK_BOOST_VERSION])
- AC_REQUIRE([QL_CHECK_BOOST_UBLAS])
  AC_REQUIRE([QL_CHECK_BOOST_UNIT_TEST])
 ])
 

ql/experimental/finitedifferences/fdmblackscholesfwdop.cpp

@@ -121,11 +121,10 @@ namespace QuantLib {
         return solve_splitting(direction_, r, dt);
     }
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
     Disposable<std::vector<SparseMatrix> >
     FdmBlackScholesFwdOp::toMatrixDecomp() const {
         std::vector<SparseMatrix> retVal(1, mapT_.toMatrix());
         return retVal;
     }
-#endif
+
 }

ql/experimental/finitedifferences/fdmblackscholesfwdop.hpp

@@ -52,9 +52,7 @@ class FdmBlackScholesFwdOp : public FdmLinearOpComposite {
         Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
         Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
         Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
       private:
         const ext::shared_ptr<FdmMesher> mesher_;
         const ext::shared_ptr<YieldTermStructure> rTS_, qTS_;

ql/experimental/finitedifferences/fdmdupire1dop.cpp

@@ -19,10 +19,7 @@
 
 #include <ql/experimental/finitedifferences/fdmdupire1dop.hpp>
 #include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
-
-#if !defined(QL_NO_UBLAS_SUPPORT)
 #include <boost/numeric/ublas/matrix.hpp>
-#endif
 
 namespace QuantLib {
 
@@ -66,11 +63,10 @@ Disposable<Array> FdmDupire1dOp::preconditioner(const Array &r, Real dt) const {
     return solve_splitting(0, r, dt);
 }
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
 Disposable<std::vector<SparseMatrix> > FdmDupire1dOp::toMatrixDecomp() const {
     std::vector<SparseMatrix> retVal(1);
     retVal[0] = mapT_.toMatrix();
     return retVal;
 }
-#endif
+
 }

ql/experimental/finitedifferences/fdmdupire1dop.hpp

@@ -47,9 +47,7 @@ class FdmDupire1dOp : public FdmLinearOpComposite {
     Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
     Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
     Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
 
   private:
     const ext::shared_ptr<FdmMesher> mesher_;

ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp

@@ -102,12 +102,10 @@ namespace QuantLib {
         return solve_splitting(direction_, r, dt);
     }
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
     Disposable<std::vector<SparseMatrix> >
     FdmExtendedOrnsteinUhlenbeckOp::toMatrixDecomp() const {
         std::vector<SparseMatrix> retVal(1, mapX_.toMatrix());
         return retVal;
     }
-#endif
 
 }

ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp

@@ -54,9 +54,8 @@ namespace QuantLib {
         Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
         Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
         Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
+
       private:
         const ext::shared_ptr<FdmMesher> mesher_;
         const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process_;

ql/experimental/finitedifferences/fdmextoujumpop.cpp

@@ -32,12 +32,6 @@
 #include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
 #include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
 
-#if defined(QL_NO_UBLAS_SUPPORT)
-
-#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
-
-#else
-
 #if defined(QL_PATCH_MSVC)
 #pragma warning(push)
 #pragma warning(disable:4180)
@@ -59,8 +53,6 @@
 #pragma GCC diagnostic pop
 #endif
 
-#endif
-
 namespace QuantLib {
 
     FdmExtOUJumpOp::FdmExtOUJumpOp(
@@ -81,7 +73,6 @@ namespace QuantLib {
       dyMap_  (FirstDerivativeOp(1, mesher)
                 .mult(-process->beta()*mesher->locations(1)))
     {
-#if !defined(QL_NO_UBLAS_SUPPORT)
         const Real eta     = process_->eta();
         const Real lambda  = process_->jumpIntensity();
 
@@ -124,7 +115,6 @@ namespace QuantLib {
                     += weight*lambda*s;
             }
         }
-#endif
     }
 
     Size FdmExtOUJumpOp::size() const {
@@ -175,79 +165,6 @@ namespace QuantLib {
         return ouOp_->solve_splitting(0, r, dt);
     }
 
-#if defined(QL_NO_UBLAS_SUPPORT)
-    FdmExtOUJumpOp::IntegroIntegrand::IntegroIntegrand(
-                    const ext::shared_ptr<LinearInterpolation>& interpl,
-                    const FdmBoundaryConditionSet& bcSet,
-                    Real y, Real eta)
-    : y_      (y),
-      eta_    (eta),
-      bcSet_  (bcSet),
-      interpl_(interpl) { }
-
-    Real FdmExtOUJumpOp::IntegroIntegrand::operator()(Real u) const {
-        const Real y = y_ + u/eta_;
-        Real valueOfDerivative = (*interpl_)(y, true);
-
-        for (FdmBoundaryConditionSet::const_iterator iter=bcSet_.begin();
-            iter < bcSet_.end(); ++iter) {
-            const ext::shared_ptr<FdmDirichletBoundary> dirichletBC =
-                 ext::dynamic_pointer_cast<FdmDirichletBoundary>(*iter);
-
-            if (dirichletBC != 0) {
-                valueOfDerivative=
-                    dirichletBC->applyAfterApplying(y, valueOfDerivative);
-            }
-        }
-
-        return std::exp(-u)*valueOfDerivative;
-    }
-
-    Disposable<Array> FdmExtOUJumpOp::integro(const Array& r) const {
-        Array integral(r.size());
-        const ext::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<ext::shared_ptr<LinearInterpolation> > >
-            interpl(extraDims, std::vector<
-                     ext::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] = ext::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);
-    }
-#else
     Disposable<Array> FdmExtOUJumpOp::integro(const Array& r) const {
         return prod(integroPart_, r);
     }
@@ -262,5 +179,5 @@ namespace QuantLib {
 
         return retVal;
     }
-#endif
+
 }

ql/experimental/finitedifferences/fdmextoujumpop.hpp

@@ -61,9 +61,7 @@ namespace QuantLib {
         Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
         Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
         Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
       private:
         Disposable<Array> integro(const Array& r) const;
 
@@ -78,23 +76,7 @@ namespace QuantLib {
 
         const TripleBandLinearOp dyMap_;
 
-#if defined(QL_NO_UBLAS_SUPPORT)
-        class IntegroIntegrand {
-          public:
-            IntegroIntegrand(const ext::shared_ptr<LinearInterpolation>& i,
-                             const FdmBoundaryConditionSet& bcSet,
-                             Real y, Real eta);
-            Real operator()(Real u) const;
-
-          private:
-            const Real y_, eta_;
-            const FdmBoundaryConditionSet& bcSet_;
-            const ext::shared_ptr<LinearInterpolation>& interpl_;
-        };
-
-#else
         SparseMatrix integroPart_;
-#endif
     };
 }
 

ql/experimental/finitedifferences/fdmhestonfwdop.cpp

@@ -224,7 +224,6 @@ namespace QuantLib {
         return v;
     }
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
     Disposable<std::vector<SparseMatrix> > FdmHestonFwdOp::toMatrixDecomp()
         const {
 
@@ -236,5 +235,5 @@ namespace QuantLib {
 
         return retVal;
     }
-#endif
+
 }

ql/experimental/finitedifferences/fdmhestonfwdop.hpp

@@ -58,9 +58,7 @@ namespace QuantLib {
         Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
         Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
         Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
       private:
         Disposable<Array> getLeverageFctSlice(Time t1, Time t2) const;
         const FdmSquareRootFwdOp::TransformationType type_;

ql/experimental/finitedifferences/fdmklugeextouop.cpp

@@ -108,7 +108,6 @@ namespace QuantLib {
         return klugeOp_->solve_splitting(0, r, dt);
     }
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
     Disposable<std::vector<SparseMatrix> >
     FdmKlugeExtOUOp::toMatrixDecomp() const {
         const std::vector<SparseMatrix> klugeDecomp
@@ -122,5 +121,5 @@ namespace QuantLib {
 
         return retVal;
     }
-#endif
+
 }

ql/experimental/finitedifferences/fdmklugeextouop.hpp

@@ -80,9 +80,8 @@ namespace QuantLib {
         Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
         Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
         Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
+
       private:
 
         const ext::shared_ptr<FdmMesher> mesher_;

ql/experimental/finitedifferences/fdmsquarerootfwdop.cpp

@@ -332,11 +332,10 @@ namespace QuantLib {
         return solve_splitting(direction_, r, dt);
     }
 
-    #if !defined(QL_NO_UBLAS_SUPPORT)
     Disposable<std::vector<SparseMatrix> >
     FdmSquareRootFwdOp::toMatrixDecomp() const {
         std::vector<SparseMatrix> retVal(1, mapX_->toMatrix());
         return retVal;
     }
-    #endif
+
 }

ql/experimental/finitedifferences/fdmsquarerootfwdop.hpp

@@ -52,9 +52,8 @@ namespace QuantLib {
         Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
         Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
         Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
+
         Real lowerBoundaryFactor(TransformationType type = Plain) const;
         Real upperBoundaryFactor(TransformationType type = Plain) const;
         Real v(Size i) const;

ql/experimental/finitedifferences/fdmzabrop.cpp

@@ -107,13 +107,12 @@ Disposable<Array> FdmZabrOp::preconditioner(const Array &r, Real dt) const {
     return solve_splitting(0, r, dt);
 }
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
 Disposable<std::vector<SparseMatrix> > FdmZabrOp::toMatrixDecomp() const {
     std::vector<SparseMatrix> retVal(3);
     retVal[0] = dxMap_.getMap().toMatrix();
     retVal[1] = dyMap_.getMap().toMatrix();
     retVal[2] = dxyMap_.toMatrix();
     return retVal;
 }
-#endif
+
 }

ql/experimental/finitedifferences/fdmzabrop.hpp

@@ -82,9 +82,7 @@ class FdmZabrOp : public FdmLinearOpComposite {
     Disposable<Array> solve_splitting(Size direction, const Array& r, Real s) const override;
     Disposable<Array> preconditioner(const Array& r, Real s) const override;
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
     Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const override;
-#endif
 
   private:
     const Array volatilityValues_;

ql/experimental/math/laplaceinterpolation.hpp

@@ -24,8 +24,6 @@
 #ifndef quantlib_laplace_interpolation
 #define quantlib_laplace_interpolation
 
-#if !defined(QL_NO_UBLAS_SUPPORT)
-
 #include <ql/math/matrixutilities/bicgstab.hpp>
 #include <ql/math/matrixutilities/sparsematrix.hpp>
 
@@ -162,5 +160,4 @@ template <class M> void laplaceInterpolation(M &A, Real relTol = 1E-6) {
 
 } // namespace QuantLib
 
-#endif // QL_NO_UBLAS_SUPPORT
 #endif // include guard