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

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

/*
 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
 <https://www.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) {
                BilinearInterpolationImpl::calculate();
            }
            void calculate() override {}
            Real value(Real x, Real y) const override {
                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
    /*! \ingroup interpolations
        \warning See the Interpolation class for information about the
                 required lifetime of the underlying data.
    */
    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_ = ext::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

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) 2002, 2003 Ferdinando Ametrano
5		Copyright (C) 2004 StatPro Italia srl
6
7		This file is part of QuantLib, a free-software/open-source library
8		for financial quantitative analysts and developers - http://quantlib.org/
9
10		QuantLib is free software: you can redistribute it and/or modify it
11		under the terms of the QuantLib license. You should have received a
12		copy of the license along with this program; if not, please email
13		<quantlib-dev@lists.sf.net>. The license is also available online at
14		<https://www.quantlib.org/license.shtml>.
15
16		This program is distributed in the hope that it will be useful, but WITHOUT
17		ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18		FOR A PARTICULAR PURPOSE. See the license for more details.
19		*/
20
21		/*! \file bilinearinterpolation.hpp
22		\brief bilinear interpolation between discrete points
23		*/
24
25		#ifndef quantlib_bilinear_interpolation_hpp
26		#define quantlib_bilinear_interpolation_hpp
27
28		#include <ql/math/interpolations/interpolation2d.hpp>
29
30		namespace QuantLib {
31
32		namespace detail {
33
34		template <class I1, class I2, class M>
35		class BilinearInterpolationImpl
36		: public Interpolation2D::templateImpl<I1,I2,M> {
37		public:
38		BilinearInterpolationImpl(const I1& xBegin, const I1& xEnd,
39		const I2& yBegin, const I2& yEnd,
40		const M& zData)
41	0	: Interpolation2D::templateImpl<I1,I2,M>(xBegin,xEnd,
42	0	yBegin,yEnd,
43	0	zData) {
44	0	BilinearInterpolationImpl::calculate();
45	0	} Unexecuted instantiation: QuantLib::detail::BilinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double>, QuantLib::Matrix>::BilinearInterpolationImpl(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, QuantLib::Matrix const&) Unexecuted instantiation: QuantLib::detail::BilinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const>, QuantLib::Matrix>::BilinearInterpolationImpl(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, QuantLib::Matrix const&)
46	0	void calculate() override {} Unexecuted instantiation: QuantLib::detail::BilinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double>, QuantLib::Matrix>::calculate() Unexecuted instantiation: QuantLib::detail::BilinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const>, QuantLib::Matrix>::calculate()
47	0	Real value(Real x, Real y) const override {
48	0	Size i = this->locateX(x), j = this->locateY(y);
49
50	0	Real z1 = this->zData_[j][i];
51	0	Real z2 = this->zData_[j][i+1];
52	0	Real z3 = this->zData_[j+1][i];
53	0	Real z4 = this->zData_[j+1][i+1];
54
55	0	Real t=(x-this->xBegin_[i])/
56	0	(this->xBegin_[i+1]-this->xBegin_[i]);
57	0	Real u=(y-this->yBegin_[j])/
58	0	(this->yBegin_[j+1]-this->yBegin_[j]);
59
60	0	return (1.0-t)(1.0-u)z1 + t(1.0-u)z2
61	0	+ (1.0-t)uz3 + tuz4;
62	0	} Unexecuted instantiation: QuantLib::detail::BilinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double>, QuantLib::Matrix>::value(double, double) const Unexecuted instantiation: QuantLib::detail::BilinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const>, QuantLib::Matrix>::value(double, double) const
63		};
64
65		}
66
67		//! %bilinear interpolation between discrete points
68		/*! \ingroup interpolations
69		\warning See the Interpolation class for information about the
70		required lifetime of the underlying data.
71		*/
72		class BilinearInterpolation : public Interpolation2D {
73		public:
74		/! \pre the \f$ x \f$ and \f$ y \f$ values must be sorted. /
75		template <class I1, class I2, class M>
76		BilinearInterpolation(const I1& xBegin, const I1& xEnd,
77		const I2& yBegin, const I2& yEnd,
78	0	const M& zData) {
79	0	impl_ = ext::shared_ptr<Interpolation2D::Impl>(
80	0	new detail::BilinearInterpolationImpl<I1,I2,M>(xBegin, xEnd,
81	0	yBegin, yEnd,
82	0	zData));
83	0	} Unexecuted instantiation: QuantLib::BilinearInterpolation::BilinearInterpolation<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double>, QuantLib::Matrix>(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, QuantLib::Matrix const&) Unexecuted instantiation: QuantLib::BilinearInterpolation::BilinearInterpolation<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const>, QuantLib::Matrix>(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, QuantLib::Matrix const&)
84		};
85
86		//! bilinear-interpolation factory
87		class Bilinear {
88		public:
89		template <class I1, class I2, class M>
90		Interpolation2D interpolate(const I1& xBegin, const I1& xEnd,
91		const I2& yBegin, const I2& yEnd,
92	0	const M& z) const {
93	0	return BilinearInterpolation(xBegin,xEnd,yBegin,yEnd,z);
94	0	} Unexecuted instantiation: QuantLib::Interpolation2D QuantLib::Bilinear::interpolate<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double>, QuantLib::Matrix>(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, QuantLib::Matrix const&) const Unexecuted instantiation: QuantLib::Interpolation2D QuantLib::Bilinear::interpolate<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const>, QuantLib::Matrix>(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, QuantLib::Matrix const&) const
95		};
96
97		}
98
99
100		#endif

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Created: 2025-09-04 07:11