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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
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
<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.
*/
#ifndef quantlib_market_model_utilities_hpp
#define quantlib_market_model_utilities_hpp
#include <ql/types.hpp>
#include <vector>
#include <valarray>
namespace QuantLib {
void mergeTimes(const std::vector<std::vector<Time> >& times,
std::vector<Time>& mergedTimes,
std::vector<std::valarray<bool> >& isPresent);
/*! Look for elements of a set in a subset.
Returns a vector of booleans such that:
element set[i] present/not present in subset.
\pre both vectors must be strictly increasing.
*/
std::valarray<bool> isInSubset(const std::vector<Time>& set,
const std::vector<Time>& subset);
//! check for strictly increasing times, first time greater than zero
void checkIncreasingTimes(const std::vector<Time>& times);
void checkIncreasingTimesAndCalculateTaus(const std::vector<Time>& times,
std::vector<Time>& taus);
}
#endif
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