| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2015 Ferdinando Ametrano |
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| 5 | Copyright (C) 2015 Paolo Mazzocchi |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | #ifndef quantlib_polynomial_math_function_hpp |
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| 22 | #define quantlib_polynomial_math_function_hpp |
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| 23 | |
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| 24 | #include <ql/math/matrix.hpp> |
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| 25 | |
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| 26 | #include <vector> |
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| 27 | |
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| 28 | namespace QuantLib { |
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| 29 | |
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| 30 | //! %Cubic functional form |
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| 31 | /*! \f[ f(t) = \sum_{i=0}^n{c_i t^i} \f] */ |
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| 32 | class PolynomialFunction { |
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| 33 | |
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| 34 | public: |
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| 35 | /*! \deprecated Use `auto` or `decltype` instead. |
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| 36 | Deprecated in version 1.29. |
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| 37 | */ |
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| 38 | QL_DEPRECATED |
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| 39 | typedef Time argument_type; |
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| 40 | |
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| 41 | /*! \deprecated Use `auto` or `decltype` instead. |
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| 42 | Deprecated in version 1.29. |
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| 43 | */ |
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| 44 | QL_DEPRECATED |
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| 45 | typedef Real result_type; |
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| 46 | |
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| 47 | PolynomialFunction(const std::vector<Real>& coeff); |
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| 48 | |
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| 49 | //! function value at time t: \f[ f(t) = \sum_{i=0}^n{c_i t^i} \f] |
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| 50 | Real operator()(Time t) const; |
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| 51 | |
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| 52 | /*! first derivative of the function at time t |
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| 53 | \f[ f'(t) = \sum_{i=0}^{n-1}{(i+1) c_{i+1} t^i} \f] */ |
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| 54 | Real derivative(Time t) const; |
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| 55 | |
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| 56 | /*! indefinite integral of the function at time t |
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| 57 | \f[ \int f(t)dt = \sum_{i=0}^n{c_i t^{i+1} / (i+1)} + K \f] */ |
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| 58 | Real primitive(Time t) const; |
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| 59 | |
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| 60 | /*! definite integral of the function between t1 and t2 |
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| 61 | \f[ \int_{t1}^{t2} f(t)dt \f] */ |
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| 62 | Real definiteIntegral(Time t1, |
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| 63 | Time t2) const; |
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| 64 | |
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| 65 | /*! Inspectors */ |
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| 66 | Size order() const { return order_; } |
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| 67 | const std::vector<Real>& coefficients() { return c_; } |
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| 68 | const std::vector<Real>& derivativeCoefficients() { return derC_; } |
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| 69 | const std::vector<Real>& primitiveCoefficients() { return prC_; } |
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| 70 | |
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| 71 | /*! coefficients of a PolynomialFunction defined as definite |
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| 72 | integral on a rolling window of length tau, with tau = t2-t */ |
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| 73 | std::vector<Real> definiteIntegralCoefficients(Time t, |
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| 74 | Time t2) const; |
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| 75 | |
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| 76 | /*! coefficients of a PolynomialFunction defined as definite |
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| 77 | derivative on a rolling window of length tau, with tau = t2-t */ |
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| 78 | std::vector<Real> definiteDerivativeCoefficients(Time t, |
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| 79 | Time t2) const; |
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| 80 | |
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| 81 | private: |
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| 82 | Size order_; |
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| 83 | std::vector<Real> c_, derC_, prC_; |
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| 84 | Real K_; |
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| 85 | mutable Matrix eqs_; |
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| 86 | void initializeEqs_(Time t, |
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| 87 | Time t2) const; |
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| 88 | }; |
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| 89 | |
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| 90 | } |
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| 91 | |
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| 92 | #endif |
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| 93 | |
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