/usr/include/ql/math/interpolations/mixedinterpolation.hpp is in libquantlib0-dev 1.7.1-1.
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/*
Copyright (C) 2010 Ferdinando Ametrano
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 mixedinterpolation.hpp
\brief mixed interpolation between discrete points
*/
#ifndef quantlib_mixed_interpolation_hpp
#define quantlib_mixed_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 Ia, class Ib> class MixedInterpolationImpl;
}
//! mixed linear/cubic interpolation between discrete points
/*! \ingroup interpolations */
class MixedLinearCubicInterpolation : public Interpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MixedLinearCubicInterpolation(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n,
CubicInterpolation::DerivativeApprox da,
bool monotonic,
CubicInterpolation::BoundaryCondition leftC,
Real leftConditionValue,
CubicInterpolation::BoundaryCondition rightC,
Real rightConditionValue) {
impl_ = boost::shared_ptr<Interpolation::Impl>(new
detail::MixedInterpolationImpl<I1, I2, Linear, Cubic>(
xBegin, xEnd, yBegin, n,
Linear(),
Cubic(da, monotonic,
leftC, leftConditionValue,
rightC, rightConditionValue)));
impl_->update();
}
//Size switchIndex() { return impl_->switchIndex(); }
};
//! mixed linear/cubic interpolation factory and traits
/*! \ingroup interpolations */
class MixedLinearCubic {
public:
MixedLinearCubic(Size n,
CubicInterpolation::DerivativeApprox da,
bool monotonic = true,
CubicInterpolation::BoundaryCondition leftCondition
= CubicInterpolation::SecondDerivative,
Real leftConditionValue = 0.0,
CubicInterpolation::BoundaryCondition rightCondition
= CubicInterpolation::SecondDerivative,
Real rightConditionValue = 0.0)
: n_(n), 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 MixedLinearCubicInterpolation(xBegin, xEnd,
yBegin, n_,
da_, monotonic_,
leftType_, leftValue_,
rightType_, rightValue_);
}
// fix below
static const bool global = true;
static const Size requiredPoints = 3;
private:
Size n_;
CubicInterpolation::DerivativeApprox da_;
bool monotonic_;
CubicInterpolation::BoundaryCondition leftType_, rightType_;
Real leftValue_, rightValue_;
};
// convenience classes
class MixedLinearCubicNaturalSpline : public MixedLinearCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MixedLinearCubicNaturalSpline(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n)
: MixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n,
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class MixedLinearMonotonicCubicNaturalSpline : public MixedLinearCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MixedLinearMonotonicCubicNaturalSpline(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n)
: MixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n,
CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class MixedLinearKrugerCubic : public MixedLinearCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MixedLinearKrugerCubic(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n)
: MixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n,
CubicInterpolation::Kruger, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class MixedLinearFritschButlandCubic : public MixedLinearCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MixedLinearFritschButlandCubic(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n)
: MixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n,
CubicInterpolation::FritschButland, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class MixedLinearParabolic : public MixedLinearCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MixedLinearParabolic(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n)
: MixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n,
CubicInterpolation::Parabolic, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
class MixedLinearMonotonicParabolic : public MixedLinearCubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
MixedLinearMonotonicParabolic(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n)
: MixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n,
CubicInterpolation::Parabolic, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0) {}
};
namespace detail {
template <class I1, class I2, class Interpolator1, class Interpolator2>
class MixedInterpolationImpl
: public Interpolation::templateImpl<I1,I2> {
public:
MixedInterpolationImpl(const I1& xBegin, const I1& xEnd,
const I2& yBegin, Size n,
const Interpolator1& factory1 = Interpolator1(),
const Interpolator2& factory2 = Interpolator2())
: Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin,
std::max<Size>(Interpolator1::requiredPoints,Interpolator2::requiredPoints)),
n_(n) {
xBegin2_ = this->xBegin_+n;
QL_REQUIRE(xBegin2_<this->xEnd_,
"too large n (" << n << ") for " <<
this->xEnd_-this->xBegin_ << "-element x sequence");
interpolation1_ = factory1.interpolate(this->xBegin_,
this->xEnd_,
this->yBegin_);
interpolation2_ = factory2.interpolate(this->xBegin_,
this->xEnd_,
this->yBegin_);
}
void update() {
interpolation1_.update();
interpolation2_.update();
}
Real value(Real x) const {
if (x<*(this->xBegin2_))
return interpolation1_(x, true);
return interpolation2_(x, true);
}
Real primitive(Real x) const {
if (x<*(this->xBegin2_))
return interpolation1_.primitive(x, true);
return interpolation2_.primitive(x, true) -
interpolation2_.primitive(*xBegin2_, true) +
interpolation1_.primitive(*xBegin2_, true);
}
Real derivative(Real x) const {
if (x<*(this->xBegin2_))
return interpolation1_.derivative(x, true);
return interpolation2_.derivative(x, true);
}
Real secondDerivative(Real x) const {
if (x<*(this->xBegin2_))
return interpolation1_.secondDerivative(x, true);
return interpolation2_.secondDerivative(x, true);
}
Size switchIndex() { return n_; }
private:
I1 xBegin2_;
Size n_;
Interpolation interpolation1_, interpolation2_;
};
}
}
#endif
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