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
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2006 Marco Bianchetti
Copyright (C) 2006 Mark Joshi
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/models/marketmodels/utilities.hpp>
#include <ql/errors.hpp>
#include <algorithm>
#include <valarray>
namespace QuantLib {
void mergeTimes(const std::vector<std::vector<Time> >& times,
std::vector<Time>& mergedTimes,
std::vector<std::valarray<bool> >& isPresent) {
std::vector<Time> allTimes;
for (Size i=0; i<times.size(); i++) {
allTimes.insert(allTimes.end(),
times[i].begin(),
times[i].end());
}
// ...sort and compact the vector mergedTimes...
std::sort(allTimes.begin(), allTimes.end());
std::vector<Time>::iterator end = std::unique(allTimes.begin(),
allTimes.end());
//mergedTimes.clear(); // shouldn't be cleared?
mergedTimes.insert(mergedTimes.end(),
allTimes.begin(), end);
isPresent.resize(times.size());
for (Size i=0; i<times.size(); i++) {
isPresent[i].resize(allTimes.size());
for (Size j=0; j<allTimes.size(); j++) {
isPresent[i][j] = std::binary_search(times[i].begin(),
times[i].end(),
allTimes[j]);
}
}
}
std::valarray<bool> isInSubset(const std::vector<Time>& set,
const std::vector<Time>& subset) {
std::valarray<bool> result(false,set.size());
Size dimsubSet = subset.size();
if (dimsubSet==0)
return result;
Size dimSet = set.size();
Time setElement, subsetElement;
QL_REQUIRE(dimSet >= dimsubSet,
"set is required to be larger or equal than subset");
for (Size i=0; i<dimSet; ++i) { // loop in set
Size j=0;
setElement = set[i];
for (;;) { // loop in subset
subsetElement = subset[j];
result[i] = false;
// if smaller no hope, leave false and go to next i
if (setElement < subsetElement)
break;
// if match, set result[i] to true and go to next i
if (setElement == subsetElement) {
result[i] = true;
break;
}
// if larger, leave false if at the end or go to next j
if (j == dimsubSet-1)
break;
++j;
}
}
return result;
}
void checkIncreasingTimes(const std::vector<Time>& times) {
Size nTimes = times.size();
QL_REQUIRE(nTimes>0,
"at least one time is required");
QL_REQUIRE(times[0]>0.0,
"first time (" << times[0] <<
") must be greater than zero");
for (Size i=0; i<nTimes-1; ++i)
QL_REQUIRE(times[i+1]-times[i]>0,
"non increasing rate times: "
"times[" << i << "]=" << times[i] << ", "
"times[" << i+1 << "]=" << times[i+1]);
}
void checkIncreasingTimesAndCalculateTaus(const std::vector<Time>& times,
std::vector<Time>& taus) {
Size nTimes = times.size();
QL_REQUIRE(nTimes>1,
"at least two times are required, " << nTimes << " provided");
QL_REQUIRE(times[0]>0.0,
"first time (" << times[0] <<
") must be greater than zero");
if (taus.size()!=nTimes-1)
taus.resize(nTimes-1);
for (Size i=0; i<nTimes-1; ++i) {
taus[i]=times[i+1]-times[i];
QL_REQUIRE(taus[i]>0,
"non increasing rate times: "
"times[" << i << "]=" << times[i] << ", "
"times[" << i+1 << "]=" << times[i+1]);
}
}
}
|
