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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 linearinterpolation.hpp
\brief linear interpolation between discrete points
\fullpath
ql/Math/%linearinterpolation.hpp
*/
// $Id: linearinterpolation.hpp,v 1.7 2002/03/12 10:55:29 nando Exp $
#ifndef quantlib_linear_interpolation_h
#define quantlib_linear_interpolation_h
#include <ql/Math/interpolation.hpp>
#include <algorithm>
namespace QuantLib {
namespace Math {
//! linear interpolation between discrete points
template <class RandomAccessIterator1, class RandomAccessIterator2>
class LinearInterpolation
: public Interpolation<RandomAccessIterator1,RandomAccessIterator2> {
public:
/* these typedefs are repeated because Borland C++ won't inherit
them from Interpolation - they shouldn't hurt, though.
*/
typedef
typename QL_ITERATOR_TRAITS<RandomAccessIterator1>::value_type
argument_type;
typedef
typename QL_ITERATOR_TRAITS<RandomAccessIterator2>::value_type
result_type;
LinearInterpolation(const RandomAccessIterator1& xBegin,
const RandomAccessIterator1& xEnd,
const RandomAccessIterator2& yBegin,
bool allowExtrapolation)
: Interpolation<RandomAccessIterator1,RandomAccessIterator2>(
xBegin,xEnd,yBegin, allowExtrapolation) {}
result_type operator()(const argument_type& x) const;
};
// inline definitions
template <class I1, class I2>
inline LinearInterpolation<I1,I2>::result_type
LinearInterpolation<I1,I2>::operator()(
const LinearInterpolation<I1,I2>::argument_type& x) const {
I1 i;
if (x < *xBegin_) {
QL_REQUIRE(allowExtrapolation_,
"LinearInterpolation::operator() : "
"extrapolation not allowed "
"[x<xMin]");
i = xBegin_;
} else if (x > *(xEnd_-1)) {
QL_REQUIRE(allowExtrapolation_,
"LinearInterpolation::operator() : "
"extrapolation not allowed "
"[x>xMax]");
i = xEnd_-2;
} else
i = std::upper_bound(xBegin_,xEnd_-1,x)-1;
I2 j = yBegin_+(i-xBegin_);
return *j + (x-*i)*double(*(j+1)-*j)/double(*(i+1)-*i);
}
}
}
#endif
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