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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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 bilinearinterpolation.hpp
\brief backflat interpolation in first component, linear in second component
*/
#ifndef quantlib_backwardflatlinear_interpolation_hpp
#define quantlib_backwardflatlinear_interpolation_hpp
#include <ql/math/interpolations/interpolation2d.hpp>
namespace QuantLib {
namespace detail {
template <class I1, class I2, class M>
class BackwardflatLinearInterpolationImpl
: public Interpolation2D::templateImpl<I1,I2,M> {
public:
BackwardflatLinearInterpolationImpl(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd,
const M& zData)
: Interpolation2D::templateImpl<I1,I2,M>(xBegin,xEnd,
yBegin,yEnd,
zData) {
calculate();
}
void calculate() {}
Real value(Real x, Real y) const {
Size j = this->locateY(y);
Real z1,z2;
if(x <= this->xBegin_[0]) {
z1 = this->zData_[j][0];
z2 = this->zData_[j+1][0];
}
else {
Size i = this->locateX(x);
if(x == this->xBegin_[i]) {
z1 = this->zData_[j][i];
z2 = this->zData_[j+1][i];
}
else {
z1 = this->zData_[j][i+1];
z2 = this->zData_[j+1][i+1];
}
}
Real u=(y-this->yBegin_[j])/
(this->yBegin_[j+1]-this->yBegin_[j]);
return (1.0-u)*z1 + u*z2;
}
};
}
/*! \warning See the Interpolation class for information about the
required lifetime of the underlying data.
*/
class BackwardflatLinearInterpolation : public Interpolation2D {
public:
/*! \pre the \f$ x \f$ and \f$ y \f$ values must be sorted. */
template <class I1, class I2, class M>
BackwardflatLinearInterpolation(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd,
const M& zData) {
impl_ = ext::shared_ptr<Interpolation2D::Impl>(
new detail::BackwardflatLinearInterpolationImpl<I1,I2,M>(xBegin, xEnd,
yBegin, yEnd,
zData));
}
};
class BackwardflatLinear {
public:
template <class I1, class I2, class M>
Interpolation2D interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd,
const M& z) const {
return BackwardflatLinearInterpolation(xBegin,xEnd,yBegin,yEnd,z);
}
};
}
#endif
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