/usr/include/ql/math/interpolations/loginterpolation.hpp is in libquantlib0-dev 1.1-2build1.
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/*
Copyright (C) 2002, 2003, 2008, 2009 Ferdinando Ametrano
Copyright (C) 2004, 2007, 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 loginterpolation.hpp
\brief log-linear and log-cubic interpolation between discrete points
*/
#ifndef quantlib_log_interpolation_hpp
#define quantlib_log_interpolation_hpp
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
namespace detail {
template <class I1, class I2, class Interpolator>
class LogInterpolationImpl
: public Interpolation::templateImpl<I1,I2> {
public:
LogInterpolationImpl(const I1& xBegin, const I1& xEnd,
const I2& yBegin,
const Interpolator& factory = Interpolator())
: Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin),
logY_(xEnd-xBegin) {
interpolation_ = factory.interpolate(this->xBegin_,
this->xEnd_,
logY_.begin());
}
void update() {
for (Size i=0; i<logY_.size(); ++i) {
QL_REQUIRE(this->yBegin_[i]>0.0,
"invalid value (" << this->yBegin_[i]
<< ") at index " << i);
logY_[i] = std::log(this->yBegin_[i]);
}
interpolation_.update();
}
Real value(Real x) const {
return std::exp(interpolation_(x, true));
}
Real primitive(Real) const {
QL_FAIL("LogInterpolation primitive not implemented");
}
Real derivative(Real x) const {
return value(x)*interpolation_.derivative(x, true);
}
Real secondDerivative(Real x) const {
return derivative(x)*interpolation_.derivative(x, true) +
value(x)*interpolation_.secondDerivative(x, true);
}
private:
std::vector<Real> logY_;
Interpolation interpolation_;
};
}
//! %log-linear interpolation between discrete points
class LogLinearInterpolation : public Interpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
LogLinearInterpolation(const I1& xBegin, const I1& xEnd,
const I2& yBegin) {
impl_ = boost::shared_ptr<Interpolation::Impl>(new
detail::LogInterpolationImpl<I1, I2, Linear>(xBegin, xEnd,
yBegin));
impl_->update();
}
};
//! log-linear interpolation factory and traits
class LogLinear {
public:
template <class I1, class I2>
Interpolation interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin) const {
return LogLinearInterpolation(xBegin, xEnd, yBegin);
}
static const bool global = false;
static const Size requiredPoints = 2;
};
//! %log-cubic interpolation between discrete points
class LogCubicInterpolation : public Interpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
LogCubicInterpolation(const I1& xBegin, const I1& xEnd,
const I2& yBegin,
CubicInterpolation::DerivativeApprox da,
bool monotonic,
CubicInterpolation::BoundaryCondition leftC,
Real leftConditionValue,
CubicInterpolation::BoundaryCondition rightC,
Real rightConditionValue) {
impl_ = boost::shared_ptr<Interpolation::Impl>(new
detail::LogInterpolationImpl<I1, I2, Cubic>(
xBegin, xEnd, yBegin,
Cubic(da, monotonic,
leftC, leftConditionValue,
rightC, rightConditionValue)));
impl_->update();
}
};
//! log-cubic interpolation factory and traits
class LogCubic {
public:
LogCubic(CubicInterpolation::DerivativeApprox da,
bool monotonic = true,
CubicInterpolation::BoundaryCondition leftCondition
= CubicInterpolation::SecondDerivative,
Real leftConditionValue = 0.0,
CubicInterpolation::BoundaryCondition rightCondition
= CubicInterpolation::SecondDerivative,
Real rightConditionValue = 0.0)
: da_(da), monotonic_(monotonic),
leftType_(leftCondition), rightType_(rightCondition),
leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}
template <class I1, class I2>
Interpolation interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin) const {
return LogCubicInterpolation(xBegin, xEnd, yBegin,
da_, monotonic_,
leftType_, leftValue_,
rightType_, rightValue_);
}
static const bool global = true;
static const Size requiredPoints = 2;
private:
CubicInterpolation::DerivativeApprox da_;
bool monotonic_;
CubicInterpolation::BoundaryCondition leftType_, rightType_;
Real leftValue_, rightValue_;
};
// convenience classes
class LogCubicNaturalSpline : public LogCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
LogCubicNaturalSpline(const I1& xBegin,
const I1& xEnd,
const I2& yBegin)
: LogCubicInterpolation(xBegin, xEnd, yBegin,
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class MonotonicLogCubicNaturalSpline : public LogCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MonotonicLogCubicNaturalSpline(const I1& xBegin,
const I1& xEnd,
const I2& yBegin)
: LogCubicInterpolation(xBegin, xEnd, yBegin,
CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class KrugerLogCubic : public LogCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
KrugerLogCubic(const I1& xBegin,
const I1& xEnd,
const I2& yBegin)
: LogCubicInterpolation(xBegin, xEnd, yBegin,
CubicInterpolation::Kruger, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class FritschButlandLogCubic : public LogCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
FritschButlandLogCubic(const I1& xBegin,
const I1& xEnd,
const I2& yBegin)
: LogCubicInterpolation(xBegin, xEnd, yBegin,
CubicInterpolation::FritschButland, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class LogParabolic : public LogCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
LogParabolic(const I1& xBegin,
const I1& xEnd,
const I2& yBegin)
: LogCubicInterpolation(xBegin, xEnd, yBegin,
CubicInterpolation::Parabolic, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class MonotonicLogParabolic : public LogCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MonotonicLogParabolic(const I1& xBegin,
const I1& xEnd,
const I2& yBegin)
: LogCubicInterpolation(xBegin, xEnd, yBegin,
CubicInterpolation::Parabolic, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
}
#endif
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