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

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

/*
 Copyright (C) 2002, 2003, 2008, 2009 Ferdinando Ametrano
 Copyright (C) 2004, 2007, 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 loginterpolation.hpp
    \brief log-linear and log-cubic interpolation between discrete points
*/

#ifndef quantlib_log_interpolation_hpp
#define quantlib_log_interpolation_hpp

#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/interpolations/mixedinterpolation.hpp>
#include <ql/utilities/dataformatters.hpp>

namespace QuantLib {

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

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

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

    //! %log-cubic interpolation between discrete points
    /*! \ingroup interpolations */
    class LogCubicInterpolation : public Interpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        LogCubicInterpolation(const I1& xBegin, const I1& xEnd,
                              const I2& yBegin,
                              CubicInterpolation::DerivativeApprox da,
                              bool monotonic,
                              CubicInterpolation::BoundaryCondition leftC,
                              Real leftConditionValue,
                              CubicInterpolation::BoundaryCondition rightC,
                              Real rightConditionValue,
                              bool update = true) {
            impl_ = ext::make_shared<detail::LogInterpolationImpl<I1, I2>>(
                xBegin, xEnd, yBegin,
                Cubic(da, monotonic,
                      leftC, leftConditionValue,
                      rightC, rightConditionValue));
            if (update)
                impl_->update();
        }
    };

    //! log-cubic interpolation factory and traits
    /*! \ingroup interpolations */
    class LogCubic {
      public:
        LogCubic(CubicInterpolation::DerivativeApprox da,
                  bool monotonic = true,
                  CubicInterpolation::BoundaryCondition leftCondition
                      = CubicInterpolation::SecondDerivative,
                  Real leftConditionValue = 0.0,
                  CubicInterpolation::BoundaryCondition rightCondition
                      = CubicInterpolation::SecondDerivative,
                  Real rightConditionValue = 0.0)
        : da_(da), monotonic_(monotonic),
          leftType_(leftCondition), rightType_(rightCondition),
          leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}
        template <class I1, class I2>
        Interpolation interpolate(const I1& xBegin, const I1& xEnd,
                                  const I2& yBegin, bool update = true) const {
            return LogCubicInterpolation(xBegin, xEnd, yBegin,
                                         da_, monotonic_,
                                         leftType_, leftValue_,
                                         rightType_, rightValue_, update);
        }
        static const bool global = true;
        static const Size requiredPoints = 2;
      private:
        CubicInterpolation::DerivativeApprox da_;
        bool monotonic_;
        CubicInterpolation::BoundaryCondition leftType_, rightType_;
        Real leftValue_, rightValue_;
    };

    // convenience classes

    /*! \deprecated Use KrugerLog instead.
                    Deprecated in version 1.42.
    */
    class [[deprecated("Use KrugerLog instead")]] DefaultLogCubic : public LogCubic {
      public:
        DefaultLogCubic()
        : LogCubic(CubicInterpolation::Kruger) {}
    };

    class MonotonicLogCubic : public LogCubic {
      public:
        MonotonicLogCubic()
        : LogCubic(CubicInterpolation::Spline, true,
                   CubicInterpolation::SecondDerivative, 0.0,
                   CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class KrugerLog : public LogCubic {
      public:
        KrugerLog()
        : LogCubic(CubicInterpolation::Kruger, false,
                   CubicInterpolation::SecondDerivative, 0.0,
                   CubicInterpolation::SecondDerivative, 0.0) {}
    };


    class LogCubicNaturalSpline : public LogCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        LogCubicNaturalSpline(const I1& xBegin,
                              const I1& xEnd,
                              const I2& yBegin)
        : LogCubicInterpolation(xBegin, xEnd, yBegin,
                                CubicInterpolation::Spline, false,
                                CubicInterpolation::SecondDerivative, 0.0,
                                CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class MonotonicLogCubicNaturalSpline : public LogCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        MonotonicLogCubicNaturalSpline(const I1& xBegin,
                                       const I1& xEnd,
                                       const I2& yBegin)
        : LogCubicInterpolation(xBegin, xEnd, yBegin,
                                CubicInterpolation::Spline, true,
                                CubicInterpolation::SecondDerivative, 0.0,
                                CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class KrugerLogCubic : public LogCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        KrugerLogCubic(const I1& xBegin,
                       const I1& xEnd,
                       const I2& yBegin)
        : LogCubicInterpolation(xBegin, xEnd, yBegin,
                                CubicInterpolation::Kruger, false,
                                CubicInterpolation::SecondDerivative, 0.0,
                                CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class HarmonicLogCubic : public LogCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        HarmonicLogCubic(const I1& xBegin,
                         const I1& xEnd,
                         const I2& yBegin)
        : LogCubicInterpolation(xBegin, xEnd, yBegin,
                                CubicInterpolation::Harmonic, false,
                                CubicInterpolation::SecondDerivative, 0.0,
                                CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class FritschButlandLogCubic : public LogCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        FritschButlandLogCubic(const I1& xBegin,
                               const I1& xEnd,
                               const I2& yBegin)
        : LogCubicInterpolation(xBegin, xEnd, yBegin,
                                CubicInterpolation::FritschButland, false,
                                CubicInterpolation::SecondDerivative, 0.0,
                                CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class LogParabolic : public LogCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        LogParabolic(const I1& xBegin,
                     const I1& xEnd,
                     const I2& yBegin)
        : LogCubicInterpolation(xBegin, xEnd, yBegin,
                                CubicInterpolation::Parabolic, false,
                                CubicInterpolation::SecondDerivative, 0.0,
                                CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class MonotonicLogParabolic : public LogCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        MonotonicLogParabolic(const I1& xBegin,
                              const I1& xEnd,
                              const I2& yBegin)
        : LogCubicInterpolation(xBegin, xEnd, yBegin,
                                CubicInterpolation::Parabolic, true,
                                CubicInterpolation::SecondDerivative, 0.0,
                                CubicInterpolation::SecondDerivative, 0.0) {}
    };

    //! %log-mixedlinearcubic interpolation between discrete points
    /*! \ingroup interpolations */
    class LogMixedLinearCubicInterpolation : public Interpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        LogMixedLinearCubicInterpolation(const I1& xBegin, const I1& xEnd,
                                         const I2& yBegin, const Size n,
                                         MixedInterpolation::Behavior behavior,
                                         CubicInterpolation::DerivativeApprox da,
                                         bool monotonic,
                                         CubicInterpolation::BoundaryCondition leftC,
                                         Real leftConditionValue,
                                         CubicInterpolation::BoundaryCondition rightC,
                                         Real rightConditionValue,
                                         bool update = true) {
            impl_ = ext::make_shared<detail::LogInterpolationImpl<I1, I2>>(
                xBegin, xEnd, yBegin,
                MixedLinearCubic(n, behavior, da, monotonic,
                                 leftC, leftConditionValue,
                                 rightC, rightConditionValue));
            if (update)
                impl_->update();
        }
    };

    //! log-cubic interpolation factory and traits
    /*! \ingroup interpolations */
    class LogMixedLinearCubic {
      public:
        LogMixedLinearCubic(const Size n,
                            MixedInterpolation::Behavior behavior,
                            CubicInterpolation::DerivativeApprox da,
                            bool monotonic = true,
                            CubicInterpolation::BoundaryCondition leftCondition
                                = CubicInterpolation::SecondDerivative,
                            Real leftConditionValue = 0.0,
                            CubicInterpolation::BoundaryCondition rightCondition
                                = CubicInterpolation::SecondDerivative,
                            Real rightConditionValue = 0.0)
        : n_(n), behavior_(behavior), da_(da), monotonic_(monotonic),
          leftType_(leftCondition), rightType_(rightCondition),
          leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}
        template <class I1, class I2>
        Interpolation interpolate(const I1& xBegin, const I1& xEnd,
                                  const I2& yBegin, bool update = true) const {
            return LogMixedLinearCubicInterpolation(xBegin, xEnd, yBegin,
                                                    n_, behavior_,
                                                    da_, monotonic_,
                                                    leftType_, leftValue_,
                                                    rightType_, rightValue_,
                                                    update);
        }
        static const bool global = true;
        static const Size requiredPoints = 3;
    private:
        Size n_;
        MixedInterpolation::Behavior behavior_;
        CubicInterpolation::DerivativeApprox da_;
        bool monotonic_;
        CubicInterpolation::BoundaryCondition leftType_, rightType_;
        Real leftValue_, rightValue_;
    };

    // convenience classes
    
    /*! \deprecated Use KrugerLogMixedLinearCubic instead.
                    Deprecated in version 1.42.
    */
    class [[deprecated("Use KrugerLogMixedLinearCubic instead")]] DefaultLogMixedLinearCubic
        : public LogMixedLinearCubic {
      public:
        explicit DefaultLogMixedLinearCubic(const Size n,
                                            MixedInterpolation::Behavior behavior
                                            = MixedInterpolation::ShareRanges)
        : LogMixedLinearCubic(n, behavior,
                              CubicInterpolation::Kruger) {}
    };

    class MonotonicLogMixedLinearCubic : public LogMixedLinearCubic {
      public:
        explicit MonotonicLogMixedLinearCubic(const Size n,
                                              MixedInterpolation::Behavior behavior
                                              = MixedInterpolation::ShareRanges)
        : LogMixedLinearCubic(n, behavior,
                              CubicInterpolation::Spline, true,
                              CubicInterpolation::SecondDerivative, 0.0,
                              CubicInterpolation::SecondDerivative, 0.0) {}
    };

    class KrugerLogMixedLinearCubic: public LogMixedLinearCubic {
      public:
        explicit KrugerLogMixedLinearCubic(const Size n,
                                           MixedInterpolation::Behavior behavior
                                           = MixedInterpolation::ShareRanges)
        : LogMixedLinearCubic(n, behavior,
                              CubicInterpolation::Kruger, false,
                              CubicInterpolation::SecondDerivative, 0.0,
                              CubicInterpolation::SecondDerivative, 0.0) {}
    };


    class LogMixedLinearCubicNaturalSpline : public LogMixedLinearCubicInterpolation {
      public:
        /*! \pre the \f$ x \f$ values must be sorted. */
        template <class I1, class I2>
        LogMixedLinearCubicNaturalSpline(const I1& xBegin, const I1& xEnd,
                                         const I2& yBegin, const Size n,
                                         MixedInterpolation::Behavior behavior
                                             = MixedInterpolation::ShareRanges)
        : LogMixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n, behavior,
                                           CubicInterpolation::Spline, false,
                                           CubicInterpolation::SecondDerivative, 0.0,
                                           CubicInterpolation::SecondDerivative, 0.0) {}
    };


    namespace detail {

        template <class I1, class I2>
        class LogInterpolationImpl final
            : public Interpolation::templateImpl<I1, I2> {
          public:
            template <class Interpolator>
            LogInterpolationImpl(const I1& xBegin, const I1& xEnd,
                                 const I2& yBegin,
                                 const Interpolator& factory)
            : Interpolation::templateImpl<I1, I2>(xBegin, xEnd, yBegin,
                                                  Interpolator::requiredPoints),
              logY_(xEnd-xBegin) {
                interpolation_ = detail::interpolateWithoutUpdate(
                    factory, this->xBegin_, this->xEnd_, logY_.begin());
            }
            void update() override {
                for (Size i=0; i<logY_.size(); ++i) {
                    QL_REQUIRE(this->yBegin_[i]>0.0,
                               "invalid value (" << this->yBegin_[i]
                               << ") at index " << i);
                    logY_[i] = std::log(this->yBegin_[i]);
                }
                interpolation_.update();
            }
            Real value(Real x) const override { return std::exp(interpolation_(x, true)); }
            Real primitive(Real) const override {
                QL_FAIL("LogInterpolation primitive not implemented");
            }
            Real derivative(Real x) const override {
                return value(x)*interpolation_.derivative(x, true);
            }
            Real secondDerivative(Real x) const override {
                return derivative(x)*interpolation_.derivative(x, true) +
                            value(x)*interpolation_.secondDerivative(x, true);
            }

          private:
            std::vector<Real> logY_;
            Interpolation interpolation_;
        };

    }

}

#endif

Coverage Report

Created: 2026-08-14 07:10

Line	Count	Source
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2002, 2003, 2008, 2009 Ferdinando Ametrano
5		Copyright (C) 2004, 2007, 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 loginterpolation.hpp
22		\brief log-linear and log-cubic interpolation between discrete points
23		*/
24
25		#ifndef quantlib_log_interpolation_hpp
26		#define quantlib_log_interpolation_hpp
27
28		#include <ql/math/interpolations/linearinterpolation.hpp>
29		#include <ql/math/interpolations/cubicinterpolation.hpp>
30		#include <ql/math/interpolations/mixedinterpolation.hpp>
31		#include <ql/utilities/dataformatters.hpp>
32
33		namespace QuantLib {
34
35		namespace detail {
36		template <class I1, class I2> class LogInterpolationImpl;
37		}
38
39		//! %log-linear interpolation between discrete points
40		/*! \ingroup interpolations
41		\warning See the Interpolation class for information about the
42		required lifetime of the underlying data.
43		*/
44		class LogLinearInterpolation : public Interpolation {
45		public:
46		/! \pre the \f$ x \f$ values must be sorted. /
47		template <class I1, class I2>
48		LogLinearInterpolation(const I1& xBegin, const I1& xEnd,
49	52	const I2& yBegin, bool update = true) {
50	52	impl_ = ext::make_shared<detail::LogInterpolationImpl<I1, I2>>(
51	52	xBegin, xEnd, yBegin, Linear());
52	52	if (update)
53	52	impl_->update();
54	52	}
55		};
56
57		//! log-linear interpolation factory and traits
58		/! \ingroup interpolations /
59		class LogLinear {
60		public:
61		template <class I1, class I2>
62		Interpolation interpolate(const I1& xBegin, const I1& xEnd,
63		const I2& yBegin, bool update = true) const {
64		return LogLinearInterpolation(xBegin, xEnd, yBegin, update);
65		}
66		static const bool global = false;
67		static const Size requiredPoints = 2;
68		};
69
70		//! %log-cubic interpolation between discrete points
71		/! \ingroup interpolations /
72		class LogCubicInterpolation : public Interpolation {
73		public:
74		/! \pre the \f$ x \f$ values must be sorted. /
75		template <class I1, class I2>
76		LogCubicInterpolation(const I1& xBegin, const I1& xEnd,
77		const I2& yBegin,
78		CubicInterpolation::DerivativeApprox da,
79		bool monotonic,
80		CubicInterpolation::BoundaryCondition leftC,
81		Real leftConditionValue,
82		CubicInterpolation::BoundaryCondition rightC,
83		Real rightConditionValue,
84		bool update = true) {
85		impl_ = ext::make_shared<detail::LogInterpolationImpl<I1, I2>>(
86		xBegin, xEnd, yBegin,
87		Cubic(da, monotonic,
88		leftC, leftConditionValue,
89		rightC, rightConditionValue));
90		if (update)
91		impl_->update();
92		}
93		};
94
95		//! log-cubic interpolation factory and traits
96		/! \ingroup interpolations /
97		class LogCubic {
98		public:
99		LogCubic(CubicInterpolation::DerivativeApprox da,
100		bool monotonic = true,
101		CubicInterpolation::BoundaryCondition leftCondition
102		= CubicInterpolation::SecondDerivative,
103		Real leftConditionValue = 0.0,
104		CubicInterpolation::BoundaryCondition rightCondition
105		= CubicInterpolation::SecondDerivative,
106		Real rightConditionValue = 0.0)
107		: da_(da), monotonic_(monotonic),
108		leftType_(leftCondition), rightType_(rightCondition),
109	0	leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}
110		template <class I1, class I2>
111		Interpolation interpolate(const I1& xBegin, const I1& xEnd,
112		const I2& yBegin, bool update = true) const {
113		return LogCubicInterpolation(xBegin, xEnd, yBegin,
114		da_, monotonic_,
115		leftType_, leftValue_,
116		rightType_, rightValue_, update);
117		}
118		static const bool global = true;
119		static const Size requiredPoints = 2;
120		private:
121		CubicInterpolation::DerivativeApprox da_;
122		bool monotonic_;
123		CubicInterpolation::BoundaryCondition leftType_, rightType_;
124		Real leftValue_, rightValue_;
125		};
126
127		// convenience classes
128
129		/*! \deprecated Use KrugerLog instead.
130		Deprecated in version 1.42.
131		*/
132		class [[deprecated("Use KrugerLog instead")]] DefaultLogCubic : public LogCubic {
133		public:
134		DefaultLogCubic()
135	0	: LogCubic(CubicInterpolation::Kruger) {}
136		};
137
138		class MonotonicLogCubic : public LogCubic {
139		public:
140		MonotonicLogCubic()
141		: LogCubic(CubicInterpolation::Spline, true,
142		CubicInterpolation::SecondDerivative, 0.0,
143	0	CubicInterpolation::SecondDerivative, 0.0) {}
144		};
145
146		class KrugerLog : public LogCubic {
147		public:
148		KrugerLog()
149		: LogCubic(CubicInterpolation::Kruger, false,
150		CubicInterpolation::SecondDerivative, 0.0,
151	0	CubicInterpolation::SecondDerivative, 0.0) {}
152		};
153
154
155		class LogCubicNaturalSpline : public LogCubicInterpolation {
156		public:
157		/! \pre the \f$ x \f$ values must be sorted. /
158		template <class I1, class I2>
159		LogCubicNaturalSpline(const I1& xBegin,
160		const I1& xEnd,
161		const I2& yBegin)
162		: LogCubicInterpolation(xBegin, xEnd, yBegin,
163		CubicInterpolation::Spline, false,
164		CubicInterpolation::SecondDerivative, 0.0,
165		CubicInterpolation::SecondDerivative, 0.0) {}
166		};
167
168		class MonotonicLogCubicNaturalSpline : public LogCubicInterpolation {
169		public:
170		/! \pre the \f$ x \f$ values must be sorted. /
171		template <class I1, class I2>
172		MonotonicLogCubicNaturalSpline(const I1& xBegin,
173		const I1& xEnd,
174		const I2& yBegin)
175		: LogCubicInterpolation(xBegin, xEnd, yBegin,
176		CubicInterpolation::Spline, true,
177		CubicInterpolation::SecondDerivative, 0.0,
178		CubicInterpolation::SecondDerivative, 0.0) {}
179		};
180
181		class KrugerLogCubic : public LogCubicInterpolation {
182		public:
183		/! \pre the \f$ x \f$ values must be sorted. /
184		template <class I1, class I2>
185		KrugerLogCubic(const I1& xBegin,
186		const I1& xEnd,
187		const I2& yBegin)
188		: LogCubicInterpolation(xBegin, xEnd, yBegin,
189		CubicInterpolation::Kruger, false,
190		CubicInterpolation::SecondDerivative, 0.0,
191		CubicInterpolation::SecondDerivative, 0.0) {}
192		};
193
194		class HarmonicLogCubic : public LogCubicInterpolation {
195		public:
196		/! \pre the \f$ x \f$ values must be sorted. /
197		template <class I1, class I2>
198		HarmonicLogCubic(const I1& xBegin,
199		const I1& xEnd,
200		const I2& yBegin)
201		: LogCubicInterpolation(xBegin, xEnd, yBegin,
202		CubicInterpolation::Harmonic, false,
203		CubicInterpolation::SecondDerivative, 0.0,
204		CubicInterpolation::SecondDerivative, 0.0) {}
205		};
206
207		class FritschButlandLogCubic : public LogCubicInterpolation {
208		public:
209		/! \pre the \f$ x \f$ values must be sorted. /
210		template <class I1, class I2>
211		FritschButlandLogCubic(const I1& xBegin,
212		const I1& xEnd,
213		const I2& yBegin)
214		: LogCubicInterpolation(xBegin, xEnd, yBegin,
215		CubicInterpolation::FritschButland, false,
216		CubicInterpolation::SecondDerivative, 0.0,
217		CubicInterpolation::SecondDerivative, 0.0) {}
218		};
219
220		class LogParabolic : public LogCubicInterpolation {
221		public:
222		/! \pre the \f$ x \f$ values must be sorted. /
223		template <class I1, class I2>
224		LogParabolic(const I1& xBegin,
225		const I1& xEnd,
226		const I2& yBegin)
227		: LogCubicInterpolation(xBegin, xEnd, yBegin,
228		CubicInterpolation::Parabolic, false,
229		CubicInterpolation::SecondDerivative, 0.0,
230		CubicInterpolation::SecondDerivative, 0.0) {}
231		};
232
233		class MonotonicLogParabolic : public LogCubicInterpolation {
234		public:
235		/! \pre the \f$ x \f$ values must be sorted. /
236		template <class I1, class I2>
237		MonotonicLogParabolic(const I1& xBegin,
238		const I1& xEnd,
239		const I2& yBegin)
240		: LogCubicInterpolation(xBegin, xEnd, yBegin,
241		CubicInterpolation::Parabolic, true,
242		CubicInterpolation::SecondDerivative, 0.0,
243		CubicInterpolation::SecondDerivative, 0.0) {}
244		};
245
246		//! %log-mixedlinearcubic interpolation between discrete points
247		/! \ingroup interpolations /
248		class LogMixedLinearCubicInterpolation : public Interpolation {
249		public:
250		/! \pre the \f$ x \f$ values must be sorted. /
251		template <class I1, class I2>
252		LogMixedLinearCubicInterpolation(const I1& xBegin, const I1& xEnd,
253		const I2& yBegin, const Size n,
254		MixedInterpolation::Behavior behavior,
255		CubicInterpolation::DerivativeApprox da,
256		bool monotonic,
257		CubicInterpolation::BoundaryCondition leftC,
258		Real leftConditionValue,
259		CubicInterpolation::BoundaryCondition rightC,
260		Real rightConditionValue,
261		bool update = true) {
262		impl_ = ext::make_shared<detail::LogInterpolationImpl<I1, I2>>(
263		xBegin, xEnd, yBegin,
264		MixedLinearCubic(n, behavior, da, monotonic,
265		leftC, leftConditionValue,
266		rightC, rightConditionValue));
267		if (update)
268		impl_->update();
269		}
270		};
271
272		//! log-cubic interpolation factory and traits
273		/! \ingroup interpolations /
274		class LogMixedLinearCubic {
275		public:
276		LogMixedLinearCubic(const Size n,
277		MixedInterpolation::Behavior behavior,
278		CubicInterpolation::DerivativeApprox da,
279		bool monotonic = true,
280		CubicInterpolation::BoundaryCondition leftCondition
281		= CubicInterpolation::SecondDerivative,
282		Real leftConditionValue = 0.0,
283		CubicInterpolation::BoundaryCondition rightCondition
284		= CubicInterpolation::SecondDerivative,
285		Real rightConditionValue = 0.0)
286		: n_(n), behavior_(behavior), da_(da), monotonic_(monotonic),
287		leftType_(leftCondition), rightType_(rightCondition),
288	0	leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}
289		template <class I1, class I2>
290		Interpolation interpolate(const I1& xBegin, const I1& xEnd,
291		const I2& yBegin, bool update = true) const {
292		return LogMixedLinearCubicInterpolation(xBegin, xEnd, yBegin,
293		n_, behavior_,
294		da_, monotonic_,
295		leftType_, leftValue_,
296		rightType_, rightValue_,
297		update);
298		}
299		static const bool global = true;
300		static const Size requiredPoints = 3;
301		private:
302		Size n_;
303		MixedInterpolation::Behavior behavior_;
304		CubicInterpolation::DerivativeApprox da_;
305		bool monotonic_;
306		CubicInterpolation::BoundaryCondition leftType_, rightType_;
307		Real leftValue_, rightValue_;
308		};
309
310		// convenience classes
311
312		/*! \deprecated Use KrugerLogMixedLinearCubic instead.
313		Deprecated in version 1.42.
314		*/
315		class [[deprecated("Use KrugerLogMixedLinearCubic instead")]] DefaultLogMixedLinearCubic
316		: public LogMixedLinearCubic {
317		public:
318		explicit DefaultLogMixedLinearCubic(const Size n,
319		MixedInterpolation::Behavior behavior
320		= MixedInterpolation::ShareRanges)
321		: LogMixedLinearCubic(n, behavior,
322	0	CubicInterpolation::Kruger) {}
323		};
324
325		class MonotonicLogMixedLinearCubic : public LogMixedLinearCubic {
326		public:
327		explicit MonotonicLogMixedLinearCubic(const Size n,
328		MixedInterpolation::Behavior behavior
329		= MixedInterpolation::ShareRanges)
330		: LogMixedLinearCubic(n, behavior,
331		CubicInterpolation::Spline, true,
332		CubicInterpolation::SecondDerivative, 0.0,
333	0	CubicInterpolation::SecondDerivative, 0.0) {}
334		};
335
336		class KrugerLogMixedLinearCubic: public LogMixedLinearCubic {
337		public:
338		explicit KrugerLogMixedLinearCubic(const Size n,
339		MixedInterpolation::Behavior behavior
340		= MixedInterpolation::ShareRanges)
341		: LogMixedLinearCubic(n, behavior,
342		CubicInterpolation::Kruger, false,
343		CubicInterpolation::SecondDerivative, 0.0,
344	0	CubicInterpolation::SecondDerivative, 0.0) {}
345		};
346
347
348		class LogMixedLinearCubicNaturalSpline : public LogMixedLinearCubicInterpolation {
349		public:
350		/! \pre the \f$ x \f$ values must be sorted. /
351		template <class I1, class I2>
352		LogMixedLinearCubicNaturalSpline(const I1& xBegin, const I1& xEnd,
353		const I2& yBegin, const Size n,
354		MixedInterpolation::Behavior behavior
355		= MixedInterpolation::ShareRanges)
356		: LogMixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n, behavior,
357		CubicInterpolation::Spline, false,
358		CubicInterpolation::SecondDerivative, 0.0,
359		CubicInterpolation::SecondDerivative, 0.0) {}
360		};
361
362
363		namespace detail {
364
365		template <class I1, class I2>
366		class LogInterpolationImpl final
367		: public Interpolation::templateImpl<I1, I2> {
368		public:
369		template <class Interpolator>
370		LogInterpolationImpl(const I1& xBegin, const I1& xEnd,
371		const I2& yBegin,
372		const Interpolator& factory)
373	52	: Interpolation::templateImpl<I1, I2>(xBegin, xEnd, yBegin,
374	52	Interpolator::requiredPoints),
375	52	logY_(xEnd-xBegin) {
376	52	interpolation_ = detail::interpolateWithoutUpdate(
377	52	factory, this->xBegin_, this->xEnd_, logY_.begin());
378	52	}
379	52	void update() override {
380	719	for (Size i=0; i<logY_.size(); ++i) {
381	667	QL_REQUIRE(this->yBegin_[i]>0.0,
382	667	"invalid value (" << this->yBegin_[i]
383	667	<< ") at index " << i);
384	667	logY_[i] = std::log(this->yBegin_[i]);
385	667	}
386	52	interpolation_.update();
387	52	}
388	208	Real value(Real x) const override { return std::exp(interpolation_(x, true)); }
389	52	Real primitive(Real) const override {
390	52	QL_FAIL("LogInterpolation primitive not implemented");
391	52	}
392	104	Real derivative(Real x) const override {
393	104	return value(x)*interpolation_.derivative(x, true);
394	104	}
395	52	Real secondDerivative(Real x) const override {
396	52	return derivative(x)*interpolation_.derivative(x, true) +
397	52	value(x)*interpolation_.secondDerivative(x, true);
398	52	}
399
400		private:
401		std::vector<Real> logY_;
402		Interpolation interpolation_;
403		};
404
405		}
406
407		}
408
409		#endif