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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Peter Caspers
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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 piecewisefunction.hpp
\brief utility macro for piecewise functions
*/
#ifndef quantlib_piecewise_function_hpp
#define quantlib_piecewise_function_hpp
#include <ql/qldefines.hpp>
#include <algorithm>
/*! This defines a piecewise constant function which is RCLL and takes
the values Y[0], Y[1], ... Y[n] on the intervals
(-\infty, X[0]), [ X[1], X[2] ), ... , [ X[n-1], \infty)
Normally Y.size() should be X.size() + 1. If more values for Y are
given, they are ignored. If less values are given the last given
value is kept the same for the remaining intervals.
If X.size() is 0 a constant function taking the value Y[0] is
evaluated.
\warning If Y.size() is 0, an invalid access occurs. This
condition is not checked for performance reasons.
*/
#define QL_PIECEWISE_FUNCTION(X, Y, x) \
Y[std::min<std::size_t>( \
std::upper_bound(X.begin(), X.end(), x) - X.begin(), Y.size() - 1)]
#endif
|
