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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.
*/
/*! \file interpolation.hpp
\brief abstract base classes for interpolations
\fullpath
ql/Math/%interpolation.hpp
*/
// $Id: interpolation.hpp,v 1.8 2002/03/12 10:55:29 nando Exp $
#ifndef quantlib_interpolation_h
#define quantlib_interpolation_h
#include <ql/errors.hpp>
namespace QuantLib {
namespace Math {
//! abstract base class for 1-D interpolations
/*! Classes derived from this class will override operator() to
provide interpolated values from two sequences of equal length,
representing discretized values of a variable and a function of
the former, respectively.
*/
template <class RandomAccessIterator1, class RandomAccessIterator2>
class Interpolation {
public:
// We do not inherit from std::unary_function because we wouldn't
// inherit these typedefs anyway (see 14.6.2.3 of the standard)
typedef
typename QL_ITERATOR_TRAITS<RandomAccessIterator1>::value_type
argument_type;
typedef
typename QL_ITERATOR_TRAITS<RandomAccessIterator2>::value_type
result_type;
Interpolation(const RandomAccessIterator1& xBegin,
const RandomAccessIterator1& xEnd,
const RandomAccessIterator2& yBegin,
bool allowExtrapolation);
/*! This operator must be overridden to provide an implementation
of the actual interpolation.
\pre The sequence of values for x must have been sorted for
the result to make sense.
*/
virtual result_type operator()(const argument_type& x) const = 0;
protected:
RandomAccessIterator1 xBegin_, xEnd_;
RandomAccessIterator2 yBegin_;
bool allowExtrapolation_;
};
// inline definitions
template <class I1, class I2>
inline Interpolation<I1,I2>::Interpolation(const I1& xBegin,
const I1& xEnd, const I2& yBegin, bool allowExtrapolation)
: xBegin_(xBegin), xEnd_(xEnd), yBegin_(yBegin),
allowExtrapolation_(allowExtrapolation) {
#ifdef QL_DEBUG
QL_REQUIRE(xEnd_-xBegin_ >= 2,
"not enough points to interpolate");
#endif
}
}
}
#endif
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