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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 Klaus Spanderen
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 chebyshevinterpolation.hpp
\brief chebyshev interpolation between discrete Chebyshev nodes
*/
#ifndef quantlib_chebyshev_interpolation_hpp
#define quantlib_chebyshev_interpolation_hpp
#include <ql/math/array.hpp>
#include <ql/math/interpolation.hpp>
#include <functional>
namespace QuantLib {
/*! See S.A. Sarra: Chebyshev Interpolation: An Interactive Tour. */
class ChebyshevInterpolation: public Interpolation {
public:
enum PointsType {FirstKind, SecondKind};
explicit ChebyshevInterpolation(
const Array& y, PointsType pointsType = SecondKind);
ChebyshevInterpolation(
Size n, const std::function<Real(Real)>& f,
PointsType pointsType = SecondKind);
~ChebyshevInterpolation() override = default;
explicit ChebyshevInterpolation(const ChebyshevInterpolation&) = delete;
explicit ChebyshevInterpolation(ChebyshevInterpolation&&) = delete;
ChebyshevInterpolation& operator=(const ChebyshevInterpolation&) = delete;
ChebyshevInterpolation& operator=(ChebyshevInterpolation&&) = delete;
void updateY(const Array& y);
Array nodes() const;
static Array nodes(Size n, PointsType pointsType);
private:
const Array x_;
Array y_;
};
}
#endif
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