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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Joseph Wang
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/math/sampledcurve.hpp>
namespace QuantLib {
Real SampledCurve::valueAtCenter() const {
QL_REQUIRE(!empty(), "empty sampled curve");
Size jmid = size()/2;
if (size() % 2 == 1)
return values_[jmid];
else
return (values_[jmid]+values_[jmid-1])/2.0;
}
Real SampledCurve::firstDerivativeAtCenter() const {
QL_REQUIRE(size()>=3,
"the size of the curve must be at least 3");
Size jmid = size()/2;
if (size() % 2 == 1) {
return (values_[jmid+1]-values_[jmid-1])/
(grid_[jmid+1]-grid_[jmid-1]);
} else {
return (values_[jmid]-values_[jmid-1])/
(grid_[jmid]-grid_[jmid-1]);
}
}
Real SampledCurve::secondDerivativeAtCenter() const {
QL_REQUIRE(size()>=4,
"the size of the curve must be at least 4");
Size jmid = size()/2;
if (size() % 2 == 1) {
Real deltaPlus = (values_[jmid+1]-values_[jmid])/
(grid_[jmid+1]-grid_[jmid]);
Real deltaMinus = (values_[jmid]-values_[jmid-1])/
(grid_[jmid]-grid_[jmid-1]);
Real dS = (grid_[jmid+1]-grid_[jmid-1])/2.0;
return (deltaPlus-deltaMinus)/dS;
} else {
Real deltaPlus = (values_[jmid+1]-values_[jmid-1])/
(grid_[jmid+1]-grid_[jmid-1]);
Real deltaMinus = (values_[jmid]-values_[jmid-2])/
(grid_[jmid]-grid_[jmid-2]);
return (deltaPlus-deltaMinus)/
(grid_[jmid]-grid_[jmid-1]);
}
}
void SampledCurve::regrid(const Array &new_grid) {
CubicInterpolation priceSpline(grid_.begin(), grid_.end(),
values_.begin(),
CubicInterpolation::Spline, false,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0);
priceSpline.update();
Array newValues(new_grid.size());
Array::iterator val;
Array::const_iterator grid;
for (val = newValues.begin(), grid = new_grid.begin() ;
grid != new_grid.end();
val++, grid++) {
*val = priceSpline(*grid, true);
}
values_.swap(newValues);
grid_ = new_grid;
}
}
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