/usr/include/ql/math/interpolations/linearinterpolation.hpp is in libquantlib0-dev 1.1-2build1.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2008 StatPro Italia srl
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 linearinterpolation.hpp
\brief linear interpolation between discrete points
*/
#ifndef quantlib_linear_interpolation_hpp
#define quantlib_linear_interpolation_hpp
#include <ql/math/interpolation.hpp>
#include <vector>
namespace QuantLib {
namespace detail {
template <class I1, class I2>
class LinearInterpolationImpl
: public Interpolation::templateImpl<I1,I2> {
public:
LinearInterpolationImpl(const I1& xBegin, const I1& xEnd,
const I2& yBegin)
: Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin),
primitiveConst_(xEnd-xBegin), s_(xEnd-xBegin) {}
void update() {
primitiveConst_[0] = 0.0;
for (Size i=1; i<Size(this->xEnd_-this->xBegin_); ++i) {
Real dx = this->xBegin_[i]-this->xBegin_[i-1];
s_[i-1] = (this->yBegin_[i]-this->yBegin_[i-1])/dx;
primitiveConst_[i] = primitiveConst_[i-1]
+ dx*(this->yBegin_[i-1] +0.5*dx*s_[i-1]);
}
}
Real value(Real x) const {
Size i = this->locate(x);
return this->yBegin_[i] + (x-this->xBegin_[i])*s_[i];
}
Real primitive(Real x) const {
Size i = this->locate(x);
Real dx = x-this->xBegin_[i];
return primitiveConst_[i] +
dx*(this->yBegin_[i] + 0.5*dx*s_[i]);
}
Real derivative(Real x) const {
Size i = this->locate(x);
return s_[i];
}
Real secondDerivative(Real) const {
return 0.0;
}
private:
std::vector<Real> primitiveConst_, s_;
};
}
//! %Linear interpolation between discrete points
class LinearInterpolation : public Interpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
LinearInterpolation(const I1& xBegin, const I1& xEnd,
const I2& yBegin) {
impl_ = boost::shared_ptr<Interpolation::Impl>(new
detail::LinearInterpolationImpl<I1,I2>(xBegin, xEnd,
yBegin));
impl_->update();
}
};
//! %Linear-interpolation factory and traits
class Linear {
public:
template <class I1, class I2>
Interpolation interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin) const {
return LinearInterpolation(xBegin, xEnd, yBegin);
}
static const bool global = false;
static const Size requiredPoints = 2;
};
}
#endif
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