Re: 答复: Adjoint Greeks

Posted by Alexander Sokol on Apr 15, 2015; 1:07pm
URL: http://quantlib.414.s1.nabble.com/Adjoint-Greeks-tp16147p16486.html

Hi Peter:

We were able to solve the errors such as the one you mentioned in your post by operator overloading in boost namespace. The code sample is below in this email.

Best regards
Alex

Sample error message:

1>c:\projects\quantlib\dependencies\cpp\boost\numeric\ublas\detail\matrix_assign.hpp(34): error C2678: binary '<' : no operator found which takes a left-hand operand of type 'boost::numeric::ublas::matrix_scalar_unary<E,F>' (or there is no acceptable conversion)

Code snippet which fixes this error:

#include <cppad/cppad.hpp>

namespace boost {
       namespace numeric {
              namespace ublas
              {
                     template<class M>
                     class sparse_matrix_element;

                     template<class T, class L, std::size_t IB, class IA, class TA>
                     class compressed_matrix;

                     template<class T, class ALLOC>
                     class unbounded_array;

                     namespace detail {

                           template <typename Left, typename Right>
                           inline bool operator < (Left const& left, CppAD::AD<Right> const& right)
                           {

#pragma message ("overload operator < : " __FUNCSIG__)
                                  // This is only for demonstrate
                                  // Ensure that adjoint logic will workable
                                  return left < CppAD::Value(right);
                           }
                     }
              }
       }
}

#include <boost/numeric/ublas/lu.hpp>
using namespace std;


int main() {
    typedef CppAD::AD<double> T;
    boost::numeric::ublas::matrix<T> a(5, 5);
    boost::numeric::ublas::permutation_matrix<std::size_t> pert(5);
    // lu decomposition
    const std::size_t s = lu_factorize(a, pert);

    return 0;
}