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/*
Copyright (C) 2000, 2001, 2002 RiskMap 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 ferdinando@ametrano.net
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.
*/
// $Id: Interpolation.i,v 1.11 2002/03/12 11:25:38 nando Exp $
#ifndef quantlib_interpolation_i
#define quantlib_interpolation_i
%include QLArray.i
%include Matrix.i
%{
using QuantLib::Array;
using QuantLib::Math::Matrix;
using QuantLib::Handle;
using QuantLib::Math::Interpolation;
using QuantLib::Math::LinearInterpolation;
using QuantLib::Math::CubicSpline;
using QuantLib::Math::Interpolation2D;
using QuantLib::Math::BilinearInterpolation;
// safe versions which copy their arguments
// Python users are not supposed to worry about lifetimes
class PyInterpolation {
public:
PyInterpolation(const Array& x, const Array& y, bool allowExtrapolation)
: x_(x), y_(y) {}
double __call__(double x) { return (*f_)(x); }
protected:
Array x_, y_;
Handle<Interpolation<Array::const_iterator,
Array::const_iterator> > f_;
};
class PyInterpolation2D {
public:
PyInterpolation2D(const Array& x, const Array& y, const Matrix& m, bool allowExtrapolation)
: x_(x), y_(y), m_(m) {}
double __call__(double x, double y) { return (*f_)(x,y); }
protected:
Array x_, y_;
Matrix m_;
Handle<Interpolation2D<Array::const_iterator,
Array::const_iterator,
Matrix> > f_;
};
class PyLinearInterpolation : public PyInterpolation {
public:
PyLinearInterpolation(const Array& x, const Array& y, bool allowExtrapolation)
: PyInterpolation(x,y,allowExtrapolation) {
f_ = Handle<Interpolation<Array::const_iterator,
Array::const_iterator> >(
new LinearInterpolation<Array::const_iterator,
Array::const_iterator>(
x_.begin(),x_.end(),y_.begin(), allowExtrapolation));
}
};
class PyCubicSpline : public PyInterpolation {
public:
PyCubicSpline(const Array& x, const Array& y, bool allowExtrapolation)
: PyInterpolation(x,y,allowExtrapolation) {
f_ = Handle<Interpolation<Array::const_iterator,
Array::const_iterator> >(
new CubicSpline<Array::const_iterator,
Array::const_iterator>(
x_.begin(),x_.end(),y_.begin(), allowExtrapolation));
}
};
class PyBilinearInterpolation : public PyInterpolation2D {
public:
PyBilinearInterpolation(const Array& x, const Array& y, const Matrix& m, bool allowExtrapolation)
: PyInterpolation2D(x,y,m,allowExtrapolation) {
f_ = Handle<Interpolation2D<Array::const_iterator,
Array::const_iterator,
Matrix> >(
new BilinearInterpolation<Array::const_iterator,
Array::const_iterator,
Matrix>(
x_.begin(),x_.end(),y_.begin(),y_.end(),m_, allowExtrapolation));
}
};
%}
%name(LinearInterpolation)
class PyLinearInterpolation {
public:
PyLinearInterpolation(const Array& x, const Array& y, bool allowExtrapolation);
~PyLinearInterpolation();
double __call__(double x);
};
%name(CubicSpline)
class PyCubicSpline {
public:
PyCubicSpline(const Array& x, const Array& y, bool allowExtrapolation);
~PyCubicSpline();
double __call__(double x);
};
%name(BilinearInterpolation)
class PyBilinearInterpolation {
public:
PyBilinearInterpolation(const Array& x, const Array& y, const Matrix& m, bool allowExtrapolation);
~PyBilinearInterpolation();
double __call__(double x, double y);
};
#endif
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