/src/quantlib/ql/math/interpolations/backwardflatinterpolation.hpp

Source (jump to first uncovered line)
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 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
        \warning See the Interpolation class for information about the
                 required lifetime of the underlying data.
    */
    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_ = ext::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 = 1;
    };

    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() override {
                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 override {
                if (x <= this->xBegin_[0]
                    || std::distance(this->xBegin_, this->xEnd_) == 1)
                    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 override {
                if (std::distance(this->xBegin_, this->xEnd_) == 1)
                    return (x - this->xBegin_[0]) * this->yBegin_[0];

                Size i = this->locate(x);
                Real dx = x-this->xBegin_[i];
                return primitive_[i] + dx*this->yBegin_[i+1];
            }
            Real derivative(Real) const override { return 0.0; }
            Real secondDerivative(Real) const override { return 0.0; }

          private:
            std::vector<Real> primitive_;
        };

    }

}

#endif

Line	Count	Source (jump to first uncovered line)
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2005, 2008 StatPro Italia srl
5
6		This file is part of QuantLib, a free-software/open-source library
7		for financial quantitative analysts and developers - http://quantlib.org/
8
9		QuantLib is free software: you can redistribute it and/or modify it
10		under the terms of the QuantLib license. You should have received a
11		copy of the license along with this program; if not, please email
12		<quantlib-dev@lists.sf.net>. The license is also available online at
13		<http://quantlib.org/license.shtml>.
14
15		This program is distributed in the hope that it will be useful, but WITHOUT
16		ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17		FOR A PARTICULAR PURPOSE. See the license for more details.
18		*/
19
20		/*! \file backwardflatinterpolation.hpp
21		\brief backward-flat interpolation between discrete points
22		*/
23
24		#ifndef quantlib_backward_flat_interpolation_hpp
25		#define quantlib_backward_flat_interpolation_hpp
26
27		#include <ql/math/interpolation.hpp>
28		#include <vector>
29
30		namespace QuantLib {
31
32		namespace detail {
33		template<class I1, class I2> class BackwardFlatInterpolationImpl;
34		}
35
36		//! Backward-flat interpolation between discrete points
37		/*! \ingroup interpolations
38		\warning See the Interpolation class for information about the
39		required lifetime of the underlying data.
40		*/
41		class BackwardFlatInterpolation : public Interpolation {
42		public:
43		/! \pre the \f$ x \f$ values must be sorted. /
44		template <class I1, class I2>
45		BackwardFlatInterpolation(const I1& xBegin, const I1& xEnd,
46	0	const I2& yBegin) {
47	0	impl_ = ext::shared_ptr<Interpolation::Impl>(new
48	0	detail::BackwardFlatInterpolationImpl<I1,I2>(xBegin, xEnd,
49	0	yBegin));
50	0	impl_->update();
51	0	} Unexecuted instantiation: QuantLib::BackwardFlatInterpolation::BackwardFlatInterpolation<std::__1::__wrap_iter<double>, double const>(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, double const* const&) Unexecuted instantiation: QuantLib::BackwardFlatInterpolation::BackwardFlatInterpolation<double, double const>(double* const&, double* const&, double const* const&)
52		};
53
54		//! Backward-flat interpolation factory and traits
55		/! \ingroup interpolations /
56		class BackwardFlat {
57		public:
58		template <class I1, class I2>
59		Interpolation interpolate(const I1& xBegin, const I1& xEnd,
60	0	const I2& yBegin) const {
61	0	return BackwardFlatInterpolation(xBegin, xEnd, yBegin);
62	0	}
63		static const bool global = false;
64		static const Size requiredPoints = 1;
65		};
66
67		namespace detail {
68
69		template <class I1, class I2>
70		class BackwardFlatInterpolationImpl
71		: public Interpolation::templateImpl<I1,I2> {
72		public:
73		BackwardFlatInterpolationImpl(const I1& xBegin, const I1& xEnd,
74		const I2& yBegin)
75	0	: Interpolation::templateImpl<I1,I2>(xBegin,xEnd,yBegin,
76	0	BackwardFlat::requiredPoints),
77	0	primitive_(xEnd-xBegin) {} Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<std::__1::__wrap_iter<double>, double const>::BackwardFlatInterpolationImpl(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, double const* const&) Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<double, double const>::BackwardFlatInterpolationImpl(double* const&, double* const&, double const* const&)
78	0	void update() override {
79	0	Size n = this->xEnd_-this->xBegin_;
80	0	primitive_[0] = 0.0;
81	0	for (Size i=1; i<n; i++) {
82	0	Real dx = this->xBegin_[i]-this->xBegin_[i-1];
83	0	primitive_[i] = primitive_[i-1] + dx*this->yBegin_[i];
84	0	}
85	0	} Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<std::__1::__wrap_iter<double>, double const>::update() Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<double, double const>::update()
86	0	Real value(Real x) const override {
87	0	if (x <= this->xBegin_[0]
88	0	\|\| std::distance(this->xBegin_, this->xEnd_) == 1)
89	0	return this->yBegin_[0];
90
91	0	Size i = this->locate(x);
92	0	if (x == this->xBegin_[i])
93	0	return this->yBegin_[i];
94	0	else
95	0	return this->yBegin_[i+1];
96	0	} Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<std::__1::__wrap_iter<double>, double const>::value(double) const Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<double, double const>::value(double) const
97	0	Real primitive(Real x) const override {
98	0	if (std::distance(this->xBegin_, this->xEnd_) == 1)
99	0	return (x - this->xBegin_[0]) * this->yBegin_[0];
100
101	0	Size i = this->locate(x);
102	0	Real dx = x-this->xBegin_[i];
103	0	return primitive_[i] + dx*this->yBegin_[i+1];
104	0	} Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<std::__1::__wrap_iter<double>, double const>::primitive(double) const Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<double, double const>::primitive(double) const
105	0	Real derivative(Real) const override { return 0.0; } Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<std::__1::__wrap_iter<double>, double const>::derivative(double) const Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<double, double const>::derivative(double) const
106	0	Real secondDerivative(Real) const override { return 0.0; } Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<std::__1::__wrap_iter<double>, double const>::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::BackwardFlatInterpolationImpl<double, double const>::secondDerivative(double) const
107
108		private:
109		std::vector<Real> primitive_;
110		};
111
112		}
113
114		}
115
116		#endif

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Created: 2025-08-11 06:28