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

Source
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 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
 <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 linearinterpolation.hpp
    \brief linear interpolation between discrete points
*/

#ifndef quantlib_linear_interpolation_hpp
#define quantlib_linear_interpolation_hpp

#include <ql/math/interpolation.hpp>
#include <vector>

namespace QuantLib {

    namespace detail {
        template<class I1, class I2> class LinearInterpolationImpl;
    }

    //! %Linear interpolation between discrete points
    /*! \ingroup interpolations
        \warning See the Interpolation class for information about the
                 required lifetime of the underlying data.
    */
    class LinearInterpolation : public Interpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        LinearInterpolation(const I1& xBegin, const I1& xEnd,
                            const I2& yBegin) {
            impl_ = ext::shared_ptr<Interpolation::Impl>(new
                detail::LinearInterpolationImpl<I1,I2>(xBegin, xEnd,
                                                       yBegin));
            impl_->update();
        }
    };

    //! %Linear-interpolation factory and traits
    /*! \ingroup interpolations */
    class Linear {
      public:
        template <class I1, class I2>
        Interpolation interpolate(const I1& xBegin, const I1& xEnd,
                                  const I2& yBegin) const {
            return LinearInterpolation(xBegin, xEnd, yBegin);
        }
        static const bool global = false;
        static const Size requiredPoints = 2;
    };

    namespace detail {

        template <class I1, class I2>
        class LinearInterpolationImpl
            : public Interpolation::templateImpl<I1,I2> {
          public:
            LinearInterpolationImpl(const I1& xBegin, const I1& xEnd,
                                    const I2& yBegin)
            : Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin,
                                                 Linear::requiredPoints),
              primitiveConst_(xEnd-xBegin), s_(xEnd-xBegin) {}
            void update() override {
                primitiveConst_[0] = 0.0;
                for (Size i=1; i<Size(this->xEnd_-this->xBegin_); ++i) {
                    Real dx = this->xBegin_[i]-this->xBegin_[i-1];
                    s_[i-1] = (Real(this->yBegin_[i])-Real(this->yBegin_[i-1]))/dx;
                    primitiveConst_[i] = primitiveConst_[i-1]
                        + dx*(this->yBegin_[i-1] +0.5*dx*s_[i-1]);
                }
            }
            Real value(Real x) const override {
                Size i = this->locate(x);
                return this->yBegin_[i] + (x-this->xBegin_[i])*s_[i];
            }
            Real primitive(Real x) const override {
                Size i = this->locate(x);
                Real dx = x-this->xBegin_[i];
                return primitiveConst_[i] +
                    dx*(this->yBegin_[i] + 0.5*dx*s_[i]);
            }
            Real derivative(Real x) const override {
                Size i = this->locate(x);
                return s_[i];
            }
            Real secondDerivative(Real) const override { return 0.0; }

          private:
            std::vector<Real> primitiveConst_, s_;
        };

    }

}

#endif

Line	Count	Source
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5		Copyright (C) 2003, 2004, 2008 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 linearinterpolation.hpp
22		\brief linear interpolation between discrete points
23		*/
24
25		#ifndef quantlib_linear_interpolation_hpp
26		#define quantlib_linear_interpolation_hpp
27
28		#include <ql/math/interpolation.hpp>
29		#include <vector>
30
31		namespace QuantLib {
32
33		namespace detail {
34		template<class I1, class I2> class LinearInterpolationImpl;
35		}
36
37		//! %Linear interpolation between discrete points
38		/*! \ingroup interpolations
39		\warning See the Interpolation class for information about the
40		required lifetime of the underlying data.
41		*/
42		class LinearInterpolation : public Interpolation {
43		public:
44		/! \pre the \f$ x \f$ values must be sorted. /
45		template <class I1, class I2>
46		LinearInterpolation(const I1& xBegin, const I1& xEnd,
47	0	const I2& yBegin) {
48	0	impl_ = ext::shared_ptr<Interpolation::Impl>(new
49	0	detail::LinearInterpolationImpl<I1,I2>(xBegin, xEnd,
50	0	yBegin));
51	0	impl_->update();
52	0	} Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<std::__1::__wrap_iter<double const>, double>(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, double* const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double const> >(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double const> const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double> >(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double> const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<double, double>(double const&, double* const&, double* const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const> >(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<double const, double>(double const const&, double const* const&, double* const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, QuantLib::step_iterator<double> const&) Unexecuted instantiation: QuantLib::LinearInterpolation::LinearInterpolation<double const, double const>(double const const&, double const* const&, double const* const&)
53		};
54
55		//! %Linear-interpolation factory and traits
56		/! \ingroup interpolations /
57		class Linear {
58		public:
59		template <class I1, class I2>
60		Interpolation interpolate(const I1& xBegin, const I1& xEnd,
61	0	const I2& yBegin) const {
62	0	return LinearInterpolation(xBegin, xEnd, yBegin);
63	0	} Unexecuted instantiation: QuantLib::Interpolation QuantLib::Linear::interpolate<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&) const Unexecuted instantiation: QuantLib::Interpolation QuantLib::Linear::interpolate<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, QuantLib::step_iterator<double> const&) const
64		static const bool global = false;
65		static const Size requiredPoints = 2;
66		};
67
68		namespace detail {
69
70		template <class I1, class I2>
71		class LinearInterpolationImpl
72		: public Interpolation::templateImpl<I1,I2> {
73		public:
74		LinearInterpolationImpl(const I1& xBegin, const I1& xEnd,
75		const I2& yBegin)
76	0	: Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin,
77	0	Linear::requiredPoints),
78	0	primitiveConst_(xEnd-xBegin), s_(xEnd-xBegin) {} Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, double>::LinearInterpolationImpl(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, double* const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >::LinearInterpolationImpl(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double const> >::LinearInterpolationImpl(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double const> const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double> >::LinearInterpolationImpl(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double> const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double, double>::LinearInterpolationImpl(double const&, double* const&, double* const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const> >::LinearInterpolationImpl(std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&, std::__1::__wrap_iter<double const> const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double>::LinearInterpolationImpl(double const const&, double const* const&, double* const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >::LinearInterpolationImpl(std::__1::__wrap_iter<double> const&, std::__1::__wrap_iter<double> const&, QuantLib::step_iterator<double> const&) Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double const>::LinearInterpolationImpl(double const const&, double const* const&, double const* const&)
79	0	void update() override {
80	0	primitiveConst_[0] = 0.0;
81	0	for (Size i=1; i<Size(this->xEnd_-this->xBegin_); ++i) {
82	0	Real dx = this->xBegin_[i]-this->xBegin_[i-1];
83	0	s_[i-1] = (Real(this->yBegin_[i])-Real(this->yBegin_[i-1]))/dx;
84	0	primitiveConst_[i] = primitiveConst_[i-1]
85	0	+ dx(this->yBegin_[i-1] +0.5dx*s_[i-1]);
86	0	}
87	0	} Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, double>::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double const> >::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double> >::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double, double>::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const> >::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double>::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >::update() Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double const>::update()
88	0	Real value(Real x) const override {
89	0	Size i = this->locate(x);
90	0	return this->yBegin_[i] + (x-this->xBegin_[i])*s_[i];
91	0	} Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, double>::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double const> >::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double> >::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double, double>::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const> >::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double>::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >::value(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double const>::value(double) const
92	0	Real primitive(Real x) const override {
93	0	Size i = this->locate(x);
94	0	Real dx = x-this->xBegin_[i];
95	0	return primitiveConst_[i] +
96	0	dx(this->yBegin_[i] + 0.5dx*s_[i]);
97	0	} Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, double>::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double const> >::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double> >::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double, double>::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const> >::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double>::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >::primitive(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double const>::primitive(double) const
98	0	Real derivative(Real x) const override {
99	0	Size i = this->locate(x);
100	0	return s_[i];
101	0	} Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, double>::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double const> >::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double> >::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double, double>::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const> >::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double>::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >::derivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double const>::derivative(double) const
102	0	Real secondDerivative(Real) const override { return 0.0; } Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, double>::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double> >::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, std::__1::__wrap_iter<double const> >::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double> >::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double, double>::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double const>, std::__1::__wrap_iter<double const> >::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double>::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<std::__1::__wrap_iter<double>, QuantLib::step_iterator<double> >::secondDerivative(double) const Unexecuted instantiation: QuantLib::detail::LinearInterpolationImpl<double const, double const>::secondDerivative(double) const
103
104		private:
105		std::vector<Real> primitiveConst_, s_;
106		};
107
108		}
109
110		}
111
112		#endif

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Created: 2026-02-03 07:02