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/* -*- 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.
*/
#include <ql/experimental/math/piecewiseintegral.hpp>
#include <algorithm>
namespace QuantLib {
PiecewiseIntegral::PiecewiseIntegral(
const ext::shared_ptr<Integrator> &integrator,
const std::vector<Real> &criticalPoints, const bool avoidCriticalPoints)
: Integrator(1.0, 1), integrator_(integrator),
criticalPoints_(criticalPoints),
eps_(avoidCriticalPoints ? (1.0 + QL_EPSILON) : 1.0) {
std::sort(criticalPoints_.begin(), criticalPoints_.end());
std::vector<Real>::const_iterator end =
std::unique(criticalPoints_.begin(), criticalPoints_.end(),
static_cast<bool (*)(Real, Real)>(close_enough));
criticalPoints_.resize(end - criticalPoints_.begin());
}
} // namespace QuantLib
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