1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
|
/*
Copyright (C) 2002 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 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 interpolation2D.hpp
\brief abstract base classes for 2-D interpolations
\fullpath
ql/Math/%interpolation2D.hpp
*/
// $Id: interpolation2D.hpp,v 1.7 2002/03/12 10:55:29 nando Exp $
#ifndef quantlib_interpolation2D_h
#define quantlib_interpolation2D_h
#include <ql/errors.hpp>
namespace QuantLib {
namespace Math {
//! abstract base class for 2-D interpolations
/*! Classes derived from this class will override operator() to
provide interpolated values from two sequences of length N and M,
representing the discretized values of the x,y variables,
and a NxM matrix representing the function tabulated z values.
\todo Bicubic interpolation and bicubic spline */
template <class RandomAccessIteratorX,
class RandomAccessIteratorY,
class MatricialData>
class Interpolation2D {
public:
typedef
typename QL_ITERATOR_TRAITS<RandomAccessIteratorX>::value_type
first_argument_type;
typedef
typename QL_ITERATOR_TRAITS<RandomAccessIteratorY>::value_type
second_argument_type;
// I could think of no way of extracting type info from all
// the matricial types that could be passed here.
// We'll just cast to double for the time being
typedef double result_type;
Interpolation2D(
const RandomAccessIteratorX& xBegin,
const RandomAccessIteratorX& xEnd,
const RandomAccessIteratorY& yBegin,
const RandomAccessIteratorY& yEnd,
const MatricialData& data,
bool allowExtrapolation);
virtual ~Interpolation2D() {}
/*! 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 double operator()(
const first_argument_type& x,
const second_argument_type& y) const = 0;
protected:
RandomAccessIteratorX xBegin_, xEnd_;
RandomAccessIteratorY yBegin_, yEnd_;
// the iterators above already introduce lifetime issues.
// There would be no added advantage in copying the data.
const MatricialData& data_;
bool allowExtrapolation_;
};
// inline definitions
template <class I1, class I2, class M>
inline Interpolation2D<I1,I2,M>::Interpolation2D(
const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd, const M& data,
bool allowExtrapolation)
: xBegin_(xBegin), xEnd_(xEnd), yBegin_(yBegin), yEnd_(yEnd),
data_(data), allowExtrapolation_(allowExtrapolation) {
#ifdef QL_DEBUG
QL_REQUIRE(xEnd_-xBegin_ >= 2,
"not enough columns to interpolate");
QL_REQUIRE(yEnd_-yBegin_ >= 2,
"not enough rows to interpolate");
#endif
}
}
}
#endif
|
