/usr/include/ql/experimental/inflation/polynomial2Dspline.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2004 StatPro Italia srl
Copyright (C) 2009 Bernd Engelmann
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 polynomial2Dspline.hpp
\brief polynomial interpolation in the y-direction, spline interpolation x-direction
*/
#ifndef quantlib_polynomial2D_spline_hpp
#define quantlib_polynomial2D_spline_hpp
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
namespace QuantLib {
namespace detail {
template <class I1, class I2, class M>
class Polynomial2DSplineImpl
: public Interpolation2D::templateImpl<I1,I2,M> {
public:
Polynomial2DSplineImpl(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd, const M& zData)
: Interpolation2D::templateImpl<I1,I2,M>(xBegin,xEnd,
yBegin,yEnd,
zData) {
calculate();
}
void calculate() {
QL_REQUIRE(this->zData_.rows() == this->yEnd_ - this->yBegin_,
"size mismatch of the interpolation data");
polynomials_.reserve(this->zData_.columns());
for (Size i=0; i<(this->zData_.columns()); ++i)
polynomials_.push_back(Parabolic(
this->yBegin_, this->yEnd_,
this->zData_.column_begin(i)));
}
Real value(Real x,
Real y) const {
std::vector<Real> section(polynomials_.size());
for (Size i=0; i<polynomials_.size(); ++i)
section[i] = polynomials_[i](y, true);
QL_REQUIRE(section.size() == this->xEnd_ - this->xBegin_,
"size mismatch of the interpolation data");
CubicInterpolation spline(
this->xBegin_, this->xEnd_,
section.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0);
return spline(x,true);
}
private:
std::vector<Interpolation> polynomials_;
};
}
//! polynomial2D-spline interpolation between discrete points
class Polynomial2DSpline : public Interpolation2D {
public:
/*! \pre the \f$ x \f$ and \f$ y \f$ values must be sorted. */
template <class I1, class I2, class M>
Polynomial2DSpline(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd,
const M& zData) {
impl_ = boost::shared_ptr<Interpolation2D::Impl>(
new detail::Polynomial2DSplineImpl<I1,I2,M>(xBegin, xEnd,
yBegin, yEnd, zData));
}
};
//! polynomial2D-spline-interpolation factory
class Polynomial {
public:
template <class I1, class I2, class M>
Interpolation2D interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd,
const M& z) const {
return Polynomial2DSpline(xBegin,xEnd,yBegin,yEnd,z);
}
};
}
#endif
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