[QuantLibAddin-cvs] QuantLibAddin/qlo interpolation2D.cpp, NONE, 1.1 interpolation2D.hpp, NONE, 1.1

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv31901/qlo

Added Files:
	interpolation2D.cpp interpolation2D.hpp 
Log Message:
exported Interpolation2D

--- NEW FILE: interpolation2D.hpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano

 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 qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 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.
*/

#ifndef qla_interpolation2D_hpp
#define qla_interpolation2D_hpp

#include <oh/objhandler.hpp>
#include <qlo/interpolation.hpp>
#include <ql/Math/matrix.hpp>

namespace QuantLibAddin {

    enum Interpolation2DType {
        BiLinear,
        BiCubic
    };

    class Interpolation2D : public Extrapolator 
    {
      public:
        Interpolation2D(const Interpolation2DType t,
                        const std::vector<double>& x,
                        const std::vector<double>& y,
                        const QuantLib::Matrix& dataMatrix);
      private:
        std::vector<double> x_, y_;
        QuantLib::Matrix dataMatrix_;
    };
    
}

#endif

--- NEW FILE: interpolation2D.cpp ---

/*
 Copyright (C) 2006 Ferdinando Ametrano

 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 qua...@li...
 The license is also available online at http://quantlib.org/html/license.html

 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.
*/

#if defined(HAVE_CONFIG_H)
    #include <qlo/config.hpp>
#endif
#include <qlo/interpolation2D.hpp>
#include <ql/Math/bilinearinterpolation.hpp>
#include <ql/Math/bicubicsplineinterpolation.hpp>

namespace QuantLibAddin {

    Interpolation2D::Interpolation2D(
        const Interpolation2DType t, 
        const std::vector<double>& x,
        const std::vector<double>& y,
        const QuantLib::Matrix& dataMatrix)
    : x_(x), y_(y), dataMatrix_(dataMatrix)
    {
        QL_REQUIRE(y.size()==dataMatrix_.rows(),
            "y size (" << y.size() <<
            ") does not match number of rows in the data matrix ("
            << dataMatrix_.rows() << ")");
        QL_REQUIRE(x.size()==dataMatrix_.columns(),
            "x size (" << x.size() <<
            ") does not match number of columns in the data matrix ("
            << dataMatrix_.columns() << ")");

        switch (t) {
          case BiLinear:
            libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
                new QuantLib::BilinearInterpolation(x_.begin(), x_.end(),
                                                    y_.begin(), y_.end(),
                                                    dataMatrix_));
            break;
          case BiCubic:
            libraryObject_ = boost::shared_ptr<QuantLib::Extrapolator>(
                new QuantLib::BicubicSpline(x_.begin(), x_.end(),
                                            y_.begin(), y_.end(),
                                            dataMatrix_));
            break;
          default:
            QL_FAIL("Unknown Interpolation2DType");
        }
    }
  
}