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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2005, 2006 StatPro Italia 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
<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/timegrid.hpp>
#include <iomanip>
namespace QuantLib {
TimeGrid::TimeGrid(Time end, Size steps) {
// We seem to assume that the grid begins at 0.
// Let's enforce the assumption for the time being
// (even though I'm not sure that I agree.)
QL_REQUIRE(end > 0.0,
"negative times not allowed");
Time dt = end/steps;
times_.reserve(steps+1);
for (Size i=0; i<=steps; i++)
times_.push_back(dt*i);
mandatoryTimes_ = std::vector<Time>(1);
mandatoryTimes_[0] = end;
dt_ = std::vector<Time>(steps,dt);
}
Size TimeGrid::index(Time t) const {
Size i = closestIndex(t);
if (close_enough(t,times_[i])) {
return i;
} else {
if (t < times_.front()) {
QL_FAIL("using inadequate time grid: all nodes "
"are later than the required time t = "
<< std::setprecision(12) << t
<< " (earliest node is t1 = "
<< std::setprecision(12) << times_.front() << ")");
} else if (t > times_.back()) {
QL_FAIL("using inadequate time grid: all nodes "
"are earlier than the required time t = "
<< std::setprecision(12) << t
<< " (latest node is t1 = "
<< std::setprecision(12) << times_.back() << ")");
} else {
Size j, k;
if (t > times_[i]) {
j = i;
k = i+1;
} else {
j = i-1;
k = i;
}
QL_FAIL("using inadequate time grid: the nodes closest "
"to the required time t = "
<< std::setprecision(12) << t
<< " are t1 = "
<< std::setprecision(12) << times_[j]
<< " and t2 = "
<< std::setprecision(12) << times_[k]);
}
}
}
Size TimeGrid::closestIndex(Time t) const {
auto begin = times_.begin(), end = times_.end();
auto result = std::lower_bound(begin, end, t);
if (result == begin) {
return 0;
} else if (result == end) {
return size()-1;
} else {
Time dt1 = *result - t;
Time dt2 = t - *(result-1);
if (dt1 < dt2)
return result-begin;
else
return (result-begin)-1;
}
}
}
|
