/usr/include/ql/math/interpolations/backwardflatinterpolation.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2005, 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 backwardflatinterpolation.hpp
\brief backward-flat interpolation between discrete points
*/
#ifndef quantlib_backward_flat_interpolation_hpp
#define quantlib_backward_flat_interpolation_hpp
#include <ql/math/interpolation.hpp>
#include <vector>
namespace QuantLib {
namespace detail {
template<class I1, class I2> class BackwardFlatInterpolationImpl;
}
//! Backward-flat interpolation between discrete points
/*! \ingroup interpolations */
class BackwardFlatInterpolation : public Interpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
BackwardFlatInterpolation(const I1& xBegin, const I1& xEnd,
const I2& yBegin) {
impl_ = boost::shared_ptr<Interpolation::Impl>(new
detail::BackwardFlatInterpolationImpl<I1,I2>(xBegin, xEnd,
yBegin));
impl_->update();
}
};
//! Backward-flat interpolation factory and traits
/*! \ingroup interpolations */
class BackwardFlat {
public:
template <class I1, class I2>
Interpolation interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin) const {
return BackwardFlatInterpolation(xBegin, xEnd, yBegin);
}
static const bool global = false;
static const Size requiredPoints = 2;
};
namespace detail {
template <class I1, class I2>
class BackwardFlatInterpolationImpl
: public Interpolation::templateImpl<I1,I2> {
public:
BackwardFlatInterpolationImpl(const I1& xBegin, const I1& xEnd,
const I2& yBegin)
: Interpolation::templateImpl<I1,I2>(xBegin,xEnd,yBegin,
BackwardFlat::requiredPoints),
primitive_(xEnd-xBegin) {}
void update() {
Size n = this->xEnd_-this->xBegin_;
primitive_[0] = 0.0;
for (Size i=1; i<n; i++) {
Real dx = this->xBegin_[i]-this->xBegin_[i-1];
primitive_[i] = primitive_[i-1] + dx*this->yBegin_[i];
}
}
Real value(Real x) const {
if (x <= this->xBegin_[0])
return this->yBegin_[0];
Size i = this->locate(x);
if (x == this->xBegin_[i])
return this->yBegin_[i];
else
return this->yBegin_[i+1];
}
Real primitive(Real x) const {
Size i = this->locate(x);
Real dx = x-this->xBegin_[i];
return primitive_[i] + dx*this->yBegin_[i+1];
}
Real derivative(Real) const {
return 0.0;
}
Real secondDerivative(Real) const {
return 0.0;
}
private:
std::vector<Real> primitive_;
};
}
}
#endif
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