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Merge 0c573071c into d823f4ecb

Pull Request Pull Request #2363: Simplify LogInterpolationImpl and MixedInterpolationImpl

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/ql/math/interpolations/loginterpolation.hpp

/* -*- 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) {
            impl_ = ext::shared_ptr<Interpolation::Impl>(new
                detail::LogInterpolationImpl<I1, I2>(xBegin, xEnd, yBegin,
                                                     Linear()));
            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) const {
            return LogLinearInterpolation(xBegin, xEnd, yBegin);
        }
        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) {
            impl_ = ext::shared_ptr<Interpolation::Impl>(new
                detail::LogInterpolationImpl<I1, I2>(
                    xBegin, xEnd, yBegin,
                    Cubic(da, monotonic,
                          leftC, leftConditionValue,
                          rightC, rightConditionValue)));
            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) const {
            return LogCubicInterpolation(xBegin, xEnd, yBegin,
                                         da_, monotonic_,
                                         leftType_, leftValue_,
                                         rightType_, rightValue_);
        }
        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

    class 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) {
            impl_ = ext::shared_ptr<Interpolation::Impl>(new
                detail::LogInterpolationImpl<I1, I2>(
                    xBegin, xEnd, yBegin,
                    MixedLinearCubic(n, behavior, da, monotonic,
                                     leftC, leftConditionValue,
                                     rightC, rightConditionValue)));
            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) const {
            return LogMixedLinearCubicInterpolation(xBegin, xEnd, yBegin,
                                                    n_, behavior_,
                                                    da_, monotonic_,
                                                    leftType_, leftValue_,
                                                    rightType_, rightValue_);
        }
        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
    
    class 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
            : 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_ = factory.interpolate(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

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 {	1,758✔
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,	1,758✔
49	const I2& yBegin) {	1,758✔
50	impl_ = ext::shared_ptr<Interpolation::Impl>(new	1,758✔
51	detail::LogInterpolationImpl<I1, I2>(xBegin, xEnd, yBegin,
NEW 52	Linear()));	×
53	impl_->update();	1,758✔
54	}	1,758✔
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,	1,758✔
63	const I2& yBegin) const {
64	return LogLinearInterpolation(xBegin, xEnd, yBegin);	1,758✔
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 {	23✔
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,	23✔
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) {	23✔
84	impl_ = ext::shared_ptr<Interpolation::Impl>(new	23✔
85	detail::LogInterpolationImpl<I1, I2>(
86	xBegin, xEnd, yBegin,
87	Cubic(da, monotonic,	×
88	leftC, leftConditionValue,
89	rightC, rightConditionValue)));
90	impl_->update();	23✔
91	}	23✔
92	};
93
94	//! log-cubic interpolation factory and traits
95	/! \ingroup interpolations /
96	class LogCubic {
97	public:
98	LogCubic(CubicInterpolation::DerivativeApprox da,
99	bool monotonic = true,
100	CubicInterpolation::BoundaryCondition leftCondition
101	= CubicInterpolation::SecondDerivative,
102	Real leftConditionValue = 0.0,
103	CubicInterpolation::BoundaryCondition rightCondition
104	= CubicInterpolation::SecondDerivative,
105	Real rightConditionValue = 0.0)
106	: da_(da), monotonic_(monotonic),	4✔
107	leftType_(leftCondition), rightType_(rightCondition),	4✔
108	leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}	4✔
109	template <class I1, class I2>
110	Interpolation interpolate(const I1& xBegin, const I1& xEnd,	23✔
111	const I2& yBegin) const {
112	return LogCubicInterpolation(xBegin, xEnd, yBegin,	46✔
113	da_, monotonic_,	23✔
114	leftType_, leftValue_,	23✔
115	rightType_, rightValue_);	23✔
116	}
117	static const bool global = true;
118	static const Size requiredPoints = 2;
119	private:
120	CubicInterpolation::DerivativeApprox da_;
121	bool monotonic_;
122	CubicInterpolation::BoundaryCondition leftType_, rightType_;
123	Real leftValue_, rightValue_;
124	};
125
126	// convenience classes
127
128	class DefaultLogCubic : public LogCubic {
129	public:
130	DefaultLogCubic()
131	: LogCubic(CubicInterpolation::Kruger) {}
132	};
133
134	class MonotonicLogCubic : public LogCubic {
135	public:
136	MonotonicLogCubic()
137	: LogCubic(CubicInterpolation::Spline, true,
138	CubicInterpolation::SecondDerivative, 0.0,
139	CubicInterpolation::SecondDerivative, 0.0) {}
140	};
141
142	class KrugerLog : public LogCubic {
143	public:
144	KrugerLog()
145	: LogCubic(CubicInterpolation::Kruger, false,
146	CubicInterpolation::SecondDerivative, 0.0,
147	CubicInterpolation::SecondDerivative, 0.0) {}
148	};
149
150
151	class LogCubicNaturalSpline : public LogCubicInterpolation {
152	public:
153	/! \pre the \f$ x \f$ values must be sorted. /
154	template <class I1, class I2>
155	LogCubicNaturalSpline(const I1& xBegin,
156	const I1& xEnd,
157	const I2& yBegin)
158	: LogCubicInterpolation(xBegin, xEnd, yBegin,
159	CubicInterpolation::Spline, false,
160	CubicInterpolation::SecondDerivative, 0.0,
161	CubicInterpolation::SecondDerivative, 0.0) {}
162	};
163
164	class MonotonicLogCubicNaturalSpline : public LogCubicInterpolation {
165	public:
166	/! \pre the \f$ x \f$ values must be sorted. /
167	template <class I1, class I2>
168	MonotonicLogCubicNaturalSpline(const I1& xBegin,
169	const I1& xEnd,
170	const I2& yBegin)
171	: LogCubicInterpolation(xBegin, xEnd, yBegin,
172	CubicInterpolation::Spline, true,
173	CubicInterpolation::SecondDerivative, 0.0,
174	CubicInterpolation::SecondDerivative, 0.0) {}
175	};
176
177	class KrugerLogCubic : public LogCubicInterpolation {
178	public:
179	/! \pre the \f$ x \f$ values must be sorted. /
180	template <class I1, class I2>
181	KrugerLogCubic(const I1& xBegin,
182	const I1& xEnd,
183	const I2& yBegin)
184	: LogCubicInterpolation(xBegin, xEnd, yBegin,
185	CubicInterpolation::Kruger, false,
186	CubicInterpolation::SecondDerivative, 0.0,
187	CubicInterpolation::SecondDerivative, 0.0) {}
188	};
189
190	class HarmonicLogCubic : public LogCubicInterpolation {
191	public:
192	/! \pre the \f$ x \f$ values must be sorted. /
193	template <class I1, class I2>
194	HarmonicLogCubic(const I1& xBegin,
195	const I1& xEnd,
196	const I2& yBegin)
197	: LogCubicInterpolation(xBegin, xEnd, yBegin,
198	CubicInterpolation::Harmonic, false,
199	CubicInterpolation::SecondDerivative, 0.0,
200	CubicInterpolation::SecondDerivative, 0.0) {}
201	};
202
203	class FritschButlandLogCubic : public LogCubicInterpolation {
204	public:
205	/! \pre the \f$ x \f$ values must be sorted. /
206	template <class I1, class I2>
207	FritschButlandLogCubic(const I1& xBegin,
208	const I1& xEnd,
209	const I2& yBegin)
210	: LogCubicInterpolation(xBegin, xEnd, yBegin,
211	CubicInterpolation::FritschButland, false,
212	CubicInterpolation::SecondDerivative, 0.0,
213	CubicInterpolation::SecondDerivative, 0.0) {}
214	};
215
216	class LogParabolic : public LogCubicInterpolation {
217	public:
218	/! \pre the \f$ x \f$ values must be sorted. /
219	template <class I1, class I2>
220	LogParabolic(const I1& xBegin,
221	const I1& xEnd,
222	const I2& yBegin)
223	: LogCubicInterpolation(xBegin, xEnd, yBegin,
224	CubicInterpolation::Parabolic, false,
225	CubicInterpolation::SecondDerivative, 0.0,
226	CubicInterpolation::SecondDerivative, 0.0) {}
227	};
228
229	class MonotonicLogParabolic : public LogCubicInterpolation {
230	public:
231	/! \pre the \f$ x \f$ values must be sorted. /
232	template <class I1, class I2>
233	MonotonicLogParabolic(const I1& xBegin,
234	const I1& xEnd,
235	const I2& yBegin)
236	: LogCubicInterpolation(xBegin, xEnd, yBegin,
237	CubicInterpolation::Parabolic, true,
238	CubicInterpolation::SecondDerivative, 0.0,
239	CubicInterpolation::SecondDerivative, 0.0) {}
240	};
241
242	//! %log-mixedlinearcubic interpolation between discrete points
243	/! \ingroup interpolations /
244	class LogMixedLinearCubicInterpolation : public Interpolation {
245	public:
246	/! \pre the \f$ x \f$ values must be sorted. /
247	template <class I1, class I2>
248	LogMixedLinearCubicInterpolation(const I1& xBegin, const I1& xEnd,
249	const I2& yBegin, const Size n,
250	MixedInterpolation::Behavior behavior,
251	CubicInterpolation::DerivativeApprox da,
252	bool monotonic,
253	CubicInterpolation::BoundaryCondition leftC,
254	Real leftConditionValue,
255	CubicInterpolation::BoundaryCondition rightC,
256	Real rightConditionValue) {
257	impl_ = ext::shared_ptr<Interpolation::Impl>(new
258	detail::LogInterpolationImpl<I1, I2>(
259	xBegin, xEnd, yBegin,
260	MixedLinearCubic(n, behavior, da, monotonic,
261	leftC, leftConditionValue,
262	rightC, rightConditionValue)));
263	impl_->update();
264	}
265	};
266
267	//! log-cubic interpolation factory and traits
268	/! \ingroup interpolations /
269	class LogMixedLinearCubic {
270	public:
271	LogMixedLinearCubic(const Size n,
272	MixedInterpolation::Behavior behavior,
273	CubicInterpolation::DerivativeApprox da,
274	bool monotonic = true,
275	CubicInterpolation::BoundaryCondition leftCondition
276	= CubicInterpolation::SecondDerivative,
277	Real leftConditionValue = 0.0,
278	CubicInterpolation::BoundaryCondition rightCondition
279	= CubicInterpolation::SecondDerivative,
280	Real rightConditionValue = 0.0)
281	: n_(n), behavior_(behavior), da_(da), monotonic_(monotonic),
282	leftType_(leftCondition), rightType_(rightCondition),
283	leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}
284	template <class I1, class I2>
285	Interpolation interpolate(const I1& xBegin, const I1& xEnd,
286	const I2& yBegin) const {
287	return LogMixedLinearCubicInterpolation(xBegin, xEnd, yBegin,
288	n_, behavior_,
289	da_, monotonic_,
290	leftType_, leftValue_,
291	rightType_, rightValue_);
292	}
293	static const bool global = true;
294	static const Size requiredPoints = 3;
295	private:
296	Size n_;
297	MixedInterpolation::Behavior behavior_;
298	CubicInterpolation::DerivativeApprox da_;
299	bool monotonic_;
300	CubicInterpolation::BoundaryCondition leftType_, rightType_;
301	Real leftValue_, rightValue_;
302	};
303
304	// convenience classes
305
306	class DefaultLogMixedLinearCubic : public LogMixedLinearCubic {
307	public:
308	explicit DefaultLogMixedLinearCubic(const Size n,
309	MixedInterpolation::Behavior behavior
310	= MixedInterpolation::ShareRanges)
311	: LogMixedLinearCubic(n, behavior,
312	CubicInterpolation::Kruger) {}
313	};
314
315	class MonotonicLogMixedLinearCubic : public LogMixedLinearCubic {
316	public:
317	explicit MonotonicLogMixedLinearCubic(const Size n,
318	MixedInterpolation::Behavior behavior
319	= MixedInterpolation::ShareRanges)
320	: LogMixedLinearCubic(n, behavior,
321	CubicInterpolation::Spline, true,
322	CubicInterpolation::SecondDerivative, 0.0,
323	CubicInterpolation::SecondDerivative, 0.0) {}
324	};
325
326	class KrugerLogMixedLinearCubic: public LogMixedLinearCubic {
327	public:
328	explicit KrugerLogMixedLinearCubic(const Size n,
329	MixedInterpolation::Behavior behavior
330	= MixedInterpolation::ShareRanges)
331	: LogMixedLinearCubic(n, behavior,
332	CubicInterpolation::Kruger, false,
333	CubicInterpolation::SecondDerivative, 0.0,
334	CubicInterpolation::SecondDerivative, 0.0) {}
335	};
336
337
338	class LogMixedLinearCubicNaturalSpline : public LogMixedLinearCubicInterpolation {
339	public:
340	/! \pre the \f$ x \f$ values must be sorted. /
341	template <class I1, class I2>
342	LogMixedLinearCubicNaturalSpline(const I1& xBegin, const I1& xEnd,
343	const I2& yBegin, const Size n,
344	MixedInterpolation::Behavior behavior
345	= MixedInterpolation::ShareRanges)
346	: LogMixedLinearCubicInterpolation(xBegin, xEnd, yBegin, n, behavior,
347	CubicInterpolation::Spline, false,
348	CubicInterpolation::SecondDerivative, 0.0,
349	CubicInterpolation::SecondDerivative, 0.0) {}
350	};
351
352
353	namespace detail {
354
355	template <class I1, class I2>
356	class LogInterpolationImpl
357	: public Interpolation::templateImpl<I1, I2> {
358	public:
359	template <class Interpolator>
360	LogInterpolationImpl(const I1& xBegin, const I1& xEnd,	1,781✔
361	const I2& yBegin,
362	const Interpolator& factory)
363	: Interpolation::templateImpl<I1, I2>(xBegin, xEnd, yBegin,
364	Interpolator::requiredPoints),
365	logY_(xEnd-xBegin) {	1,781✔
366	interpolation_ = factory.interpolate(this->xBegin_,	3,562✔
367	this->xEnd_,	1,781✔
368	logY_.begin());	1,781✔
369	}	1,781✔
370	void update() override {	22,758✔
371	for (Size i=0; i<logY_.size(); ++i) {	493,585✔
372	QL_REQUIRE(this->yBegin_[i]>0.0,	470,827✔
373	"invalid value (" << this->yBegin_[i]
374	<< ") at index " << i);
375	logY_[i] = std::log(this->yBegin_[i]);	470,827✔
376	}
377	interpolation_.update();	22,758✔
378	}	22,758✔
379	Real value(Real x) const override { return std::exp(interpolation_(x, true)); }	31,588,911✔
380	Real primitive(Real) const override {	×
381	QL_FAIL("LogInterpolation primitive not implemented");	×
382	}
383	Real derivative(Real x) const override {	224✔
384	return value(x)*interpolation_.derivative(x, true);	224✔
385	}
386	Real secondDerivative(Real x) const override {	×
387	return derivative(x)*interpolation_.derivative(x, true) +	×
388	value(x)*interpolation_.secondDerivative(x, true);	×
389	}
390
391	private:
392	std::vector<Real> logY_;
393	Interpolation interpolation_;
394	};
395
396	}
397
398	}
399
400	#endif

lballabio / QuantLib / 18929013373

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