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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Decillion Pty(Ltd)
Copyright (C) 2003 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/cashflows/timebasket.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
TimeBasket::TimeBasket(const std::vector<Date>& dates,
const std::vector<Real>& values) {
QL_REQUIRE(dates.size() == values.size(),
"number of dates differs from number of values");
super& self = *this;
for (Size i = 0; i < dates.size(); i++)
self[dates[i]] = values[i];
}
TimeBasket TimeBasket::rebin(const std::vector<Date>& buckets) const {
QL_REQUIRE(!buckets.empty(), "empty bucket structure");
std::vector<Date> sbuckets = buckets;
std::sort(sbuckets.begin(), sbuckets.end());
TimeBasket result;
for (Size i = 0; i < sbuckets.size(); i++)
result[sbuckets[i]] = 0.0;
for (const_iterator j = begin(); j != end(); j++) {
Date date = j->first;
Real value = j->second;
Date pDate = Null<Date>(), nDate = Null<Date>();
std::vector<Date>::const_iterator bi =
std::lower_bound(sbuckets.begin(), sbuckets.end(), date);
if (bi == sbuckets.end())
pDate = sbuckets.back();
else
pDate = *bi;
if (bi != sbuckets.begin() && bi != sbuckets.end())
nDate = *(bi-1);
if (pDate == date || nDate == Null<Date>()) {
result[pDate] += value;
} else {
Real pDays = Real(pDate-date);
Real nDays = Real(date-nDate);
Real tDays = Real(pDate-nDate);
result[pDate] += value*(nDays/tDays);
result[nDate] += value*(pDays/tDays);
}
}
return result;
}
}
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