/usr/include/ql/math/interpolations/bilinearinterpolation.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) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2004 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 bilinearinterpolation.hpp
\brief bilinear interpolation between discrete points
*/
#ifndef quantlib_bilinear_interpolation_hpp
#define quantlib_bilinear_interpolation_hpp
#include <ql/math/interpolations/interpolation2d.hpp>
namespace QuantLib {
namespace detail {
template <class I1, class I2, class M>
class BilinearInterpolationImpl
: public Interpolation2D::templateImpl<I1,I2,M> {
public:
BilinearInterpolationImpl(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() {}
Real value(Real x, Real y) const {
Size i = this->locateX(x), j = this->locateY(y);
Real z1 = this->zData_[j][i];
Real z2 = this->zData_[j][i+1];
Real z3 = this->zData_[j+1][i];
Real z4 = this->zData_[j+1][i+1];
Real t=(x-this->xBegin_[i])/
(this->xBegin_[i+1]-this->xBegin_[i]);
Real u=(y-this->yBegin_[j])/
(this->yBegin_[j+1]-this->yBegin_[j]);
return (1.0-t)*(1.0-u)*z1 + t*(1.0-u)*z2
+ (1.0-t)*u*z3 + t*u*z4;
}
};
}
//! %bilinear interpolation between discrete points
class BilinearInterpolation : public Interpolation2D {
public:
/*! \pre the \f$ x \f$ and \f$ y \f$ values must be sorted. */
template <class I1, class I2, class M>
BilinearInterpolation(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd,
const M& zData) {
impl_ = boost::shared_ptr<Interpolation2D::Impl>(
new detail::BilinearInterpolationImpl<I1,I2,M>(xBegin, xEnd,
yBegin, yEnd,
zData));
}
};
//! bilinear-interpolation factory
class Bilinear {
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 BilinearInterpolation(xBegin,xEnd,yBegin,yEnd,z);
}
};
}
#endif
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