|
From: Ferdinando A. <na...@us...> - 2006-06-08 11:03:16
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25928/qlo Modified Files: interpolation.cpp interpolation.hpp Log Message: Index: interpolation.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.hpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** interpolation.hpp 19 May 2006 16:56:16 -0000 1.1 --- interpolation.hpp 8 Jun 2006 10:48:49 -0000 1.2 *************** *** 1,5 **** /* ! Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 1,5 ---- /* ! Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library *************** *** 24,101 **** namespace QuantLibAddin { - typedef std::vector<std::vector<double> > double_matrix; - class Interpolation : public ObjHandler::Object { public: - Interpolation(const bool& allowExtrapolation) : allowExtrapolation_(allowExtrapolation) { } - - virtual boost::shared_ptr<QuantLib::Interpolation> - interpolationFactory(std::vector<double>::const_iterator xBegin, - std::vector<double>::const_iterator xEnd, - std::vector<double>::const_iterator yBegin) const = 0; - - double_matrix interpolate(const double_matrix& xArray, - const double_matrix& yArray, - const double_matrix& xValues) const; - virtual boost::shared_ptr<void> getReference() const { ! return boost::shared_ptr<void>(); } - protected: ! bool allowExtrapolation_; }; class BackwardFlatInterpolation : public Interpolation { public: ! BackwardFlatInterpolation(const bool& allowExtrapolation) : Interpolation(allowExtrapolation) { } ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; }; class ForwardFlatInterpolation : public Interpolation { public: ! ForwardFlatInterpolation(const bool& allowExtrapolation) : Interpolation(allowExtrapolation) { } ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; }; class LinearInterpolation : public Interpolation { public: ! LinearInterpolation(const bool& allowExtrapolation) : Interpolation(allowExtrapolation) { } ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; }; class CubicSplineInterpolation : public Interpolation { public: ! CubicSplineInterpolation( ! const bool& allowExtrapolation, ! const std::string& leftConditionType, ! const double& leftConditionValue, ! const std::string& rightConditionType, ! const double& rightConditionValue, ! const bool& monotonicityConstraint); ! ! virtual boost::shared_ptr<QuantLib::Interpolation> ! interpolationFactory(std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const; ! private: ! QuantLib::CubicSpline::BoundaryCondition leftConditionType_; ! QuantLib::Real leftConditionValue_; ! QuantLib::CubicSpline::BoundaryCondition rightConditionType_; ! QuantLib::Real rightConditionValue_; ! bool monotonicityConstraint_; }; --- 24,78 ---- namespace QuantLibAddin { class Interpolation : public ObjHandler::Object { public: virtual boost::shared_ptr<void> getReference() const { ! return boost::shared_ptr<void>(interp_); ! } ! const QuantLib::Interpolation& getObject() const { ! return *interp_; } protected: ! boost::shared_ptr<QuantLib::Interpolation> interp_; }; class BackwardFlatInterpolation : public Interpolation { public: ! BackwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); ! private: ! std::vector<double> x_, y_; }; class ForwardFlatInterpolation : public Interpolation { public: ! ForwardFlatInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); ! private: ! std::vector<double> x_, y_; }; class LinearInterpolation : public Interpolation { public: ! LinearInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation); ! private: ! std::vector<double> x_, y_; }; class CubicSplineInterpolation : public Interpolation { public: ! CubicSplineInterpolation(const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation, ! QuantLib::CubicSpline::BoundaryCondition leftCondition, ! double leftConditionValue, ! QuantLib::CubicSpline::BoundaryCondition rightCondition, ! double rightConditionValue, ! bool monotonicityConstraint); private: ! std::vector<double> x_, y_; }; *************** *** 103,105 **** #endif - --- 80,81 ---- Index: interpolation.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/interpolation.cpp,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** interpolation.cpp 19 May 2006 16:56:16 -0000 1.1 --- interpolation.cpp 8 Jun 2006 10:48:49 -0000 1.2 *************** *** 1,5 **** /* ! Copyright (C) 2005 Aurelien Chanudet This file is part of QuantLib, a free-software/open-source library --- 1,5 ---- /* ! Copyright (C) 2006 Ferdinando Ametrano This file is part of QuantLib, a free-software/open-source library *************** *** 27,128 **** namespace QuantLibAddin { - - double_matrix - Interpolation::interpolate(const double_matrix& xArray, - const double_matrix& yArray, - const double_matrix& xValues) const { - - std::vector<QuantLib::Real> x; - std::vector<QuantLib::Real> y; - - for (std::size_t ix=0 ; ix < xArray.size() ; ix++) { - for (std::size_t jx=0 ; jx < xArray[ix].size() ; jx++) { - x.push_back(xArray[ix][jx]); - } - } ! for (std::size_t iy=0 ; iy < yArray.size() ; iy++) { ! for (std::size_t jy=0 ; jy < yArray[iy].size() ; jy++) { ! y.push_back(yArray[iy][jy]); ! } ! } ! ! boost::shared_ptr<QuantLib::Interpolation> f = ! interpolationFactory(x.begin(), x.end(), y.begin()); ! ! double_matrix result; ! ! for (std::size_t p=0 ; p < xValues.size() ; p++) { ! std::vector<QuantLib::Real> v; ! for (std::size_t q=0 ; q < xValues[p].size() ; q++) { ! v.push_back((*f)(xValues[p][q], allowExtrapolation_)); ! } ! result.push_back(v); ! } ! ! return result; } ! boost::shared_ptr<QuantLib::Interpolation> ! LinearInterpolation::interpolationFactory( ! std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const { ! ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::LinearInterpolation(xBegin, xEnd, yBegin)); } ! boost::shared_ptr<QuantLib::Interpolation> ! BackwardFlatInterpolation::interpolationFactory( ! std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const { ! ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::BackwardFlatInterpolation(xBegin, xEnd, yBegin)); ! }; ! ! boost::shared_ptr<QuantLib::Interpolation> ! ForwardFlatInterpolation::interpolationFactory( ! std::vector<double>::const_iterator xBegin, ! std::vector<double>::const_iterator xEnd, ! std::vector<double>::const_iterator yBegin) const { ! ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::ForwardFlatInterpolation(xBegin, xEnd, yBegin)); ! }; ! ! CubicSplineInterpolation::CubicSplineInterpolation( ! const bool& allowExtrapolation, ! const std::string& leftConditionTypeID, ! const double& leftConditionValue, ! const std::string& rightConditionTypeID, ! const double& rightConditionValue, ! const bool& monotonicityConstraint) ! : Interpolation(allowExtrapolation), ! leftConditionValue_(leftConditionValue), rightConditionValue_(rightConditionValue), ! monotonicityConstraint_(monotonicityConstraint) { ! ! leftConditionType_ = ! Create<QuantLib::CubicSpline::BoundaryCondition>()(leftConditionTypeID); ! ! rightConditionType_ = ! Create<QuantLib::CubicSpline::BoundaryCondition>()(rightConditionTypeID); } - - boost::shared_ptr<QuantLib::Interpolation> - CubicSplineInterpolation::interpolationFactory( - std::vector<double>::const_iterator xBegin, - std::vector<double>::const_iterator xEnd, - std::vector<double>::const_iterator yBegin) const { ! return boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::CubicSpline(xBegin, xEnd, yBegin, ! leftConditionType_, leftConditionValue_, ! rightConditionType_, rightConditionValue_, ! monotonicityConstraint_)); } ! } --- 27,89 ---- namespace QuantLibAddin { ! BackwardFlatInterpolation::BackwardFlatInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { ! ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::BackwardFlatInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); } ! ForwardFlatInterpolation::ForwardFlatInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { ! ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::ForwardFlatInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); } ! LinearInterpolation::LinearInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation) : x_(x), y_(y) { ! ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::LinearInterpolation(x_.begin(), ! x_.end(), ! y_.begin())); } ! CubicSplineInterpolation::CubicSplineInterpolation( ! const std::vector<double>& x, ! const std::vector<double>& y, ! bool allowExtrapolation, ! QuantLib::CubicSpline::BoundaryCondition leftCondition, ! double leftConditionValue, ! QuantLib::CubicSpline::BoundaryCondition rightCondition, ! double rightConditionValue, ! bool monotonicityConstraint) : x_(x), y_(y) { ! ! QL_REQUIRE(x.size()==y.size(), "unmatched x/y"); ! ! interp_ = boost::shared_ptr<QuantLib::Interpolation>( ! new QuantLib::CubicSpline( ! x_.begin(), x_.end(), y_.begin(), ! leftCondition, leftConditionValue, ! rightCondition, rightConditionValue, ! monotonicityConstraint)); ! } ! } |
