/usr/include/ql/math/polynomialmathfunction.hpp is in libquantlib0-dev 1.7.1-1.
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) 2015 Ferdinando Ametrano
Copyright (C) 2015 Paolo Mazzocchi
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.
*/
#ifndef quantlib_polynomial_math_function_hpp
#define quantlib_polynomial_math_function_hpp
#include <ql/math/matrix.hpp>
#include <vector>
namespace QuantLib {
//! %Cubic functional form
/*! \f[ f(t) = \sum_{i=0}^n{c_i t^i} \f] */
class PolynomialFunction : public std::unary_function<Time, Real> {
public:
PolynomialFunction(const std::vector<Real>& coeff);
//! function value at time t: \f[ f(t) = \sum_{i=0}^n{c_i t^i} \f]
Real operator()(Time t) const;
/*! first derivative of the function at time t
\f[ f'(t) = \sum_{i=0}^{n-1}{(i+1) c_{i+1} t^i} \f] */
Real derivative(Time t) const;
/*! indefinite integral of the function at time t
\f[ \int f(t)dt = \sum_{i=0}^n{c_i t^{i+1} / (i+1)} + K \f] */
Real primitive(Time t) const;
/*! definite integral of the function between t1 and t2
\f[ \int_{t1}^{t2} f(t)dt \f] */
Real definiteIntegral(Time t1,
Time t2) const;
/*! Inspectors */
Size order() const { return order_; }
const std::vector<Real>& coefficients() { return c_; }
const std::vector<Real>& derivativeCoefficients() { return derC_; }
const std::vector<Real>& primitiveCoefficients() { return prC_; }
/*! coefficients of a PolynomialFunction defined as definite
integral on a rolling window of length tau, with tau = t2-t */
std::vector<Real> definiteIntegralCoefficients(Time t,
Time t2) const;
/*! coefficients of a PolynomialFunction defined as definite
derivative on a rolling window of length tau, with tau = t2-t */
std::vector<Real> definiteDerivativeCoefficients(Time t,
Time t2) const;
private:
Size order_;
std::vector<Real> c_, derC_, prC_;
Real K_;
mutable Matrix eqs_;
void initializeEqs_(Time t,
Time t2) const;
};
}
#endif
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