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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015, 2024 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
<https://www.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 laplaceinterpolation.hpp
\brief Laplace interpolation of missing values
*/
#ifndef quantlib_laplace_interpolation
#define quantlib_laplace_interpolation
#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
#include <ql/shared_ptr.hpp>
#include <ql/types.hpp>
#include <vector>
namespace QuantLib {
class FdmLinearOpLayout;
/*! Reconstruction of missing values using Laplace interpolation. We support an arbitrary number
of dimensions n >= 1 and non-equidistant grids. For n = 1 the method is identical to linear
interpolation with flat extrapolation. Reference: Numerical Recipes, 3rd edition, ch. 3.8. */
class LaplaceInterpolation {
public:
/*! Missing values y should be encoded as Null<Real>(). */
LaplaceInterpolation(std::function<Real(const std::vector<Size>&)> y,
std::vector<std::vector<Real>> x,
Real relTol = 1E-6,
Size maxIterMultiplier = 10);
Real operator()(const std::vector<Size>& coordinates) const;
private:
std::vector<Size> projectedCoordinates(const std::vector<Size>& coordinates) const;
std::vector<Size> fullCoordinates(const std::vector<Size>& projectedCoordinates) const;
std::function<Real(const std::vector<Size>&)> y_;
std::vector<std::vector<Real>> x_;
Real relTol_;
Size maxIterMultiplier_;
std::vector<bool> coordinateIncluded_;
Size numberOfCoordinatesIncluded_;
ext::shared_ptr<FdmLinearOpLayout> layout_;
Array interpolatedValues_;
};
/*! Convenience function that Laplace-interpolates null values in a given matrix.
If the x or y grid or both are not given, an equidistant grid is assumed. */
void laplaceInterpolation(Matrix& A,
const std::vector<Real>& x = {},
const std::vector<Real>& y = {},
Real relTol = 1E-6,
Size maxIterMultiplier = 10);
}
#endif
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