| 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) 2005 Joseph Wang |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/math/sampledcurve.hpp> |
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| 21 | |
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| 22 | namespace QuantLib { |
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| 23 | |
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| 24 | Real SampledCurve::valueAtCenter() const { |
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| 25 | QL_REQUIRE(!empty(), "empty sampled curve" ); |
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| 26 | Size jmid = size()/2; |
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| 27 | if (size() % 2 == 1) |
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| 28 | return values_[jmid]; |
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| 29 | else |
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| 30 | return (values_[jmid]+values_[jmid-1])/2.0; |
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| 31 | } |
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| 32 | |
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| 33 | Real SampledCurve::firstDerivativeAtCenter() const { |
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| 34 | QL_REQUIRE(size()>=3, |
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| 35 | "the size of the curve must be at least 3" ); |
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| 36 | Size jmid = size()/2; |
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| 37 | if (size() % 2 == 1) { |
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| 38 | return (values_[jmid+1]-values_[jmid-1])/ |
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| 39 | (grid_[jmid+1]-grid_[jmid-1]); |
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| 40 | } else { |
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| 41 | return (values_[jmid]-values_[jmid-1])/ |
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| 42 | (grid_[jmid]-grid_[jmid-1]); |
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| 43 | } |
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| 44 | } |
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| 45 | |
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| 46 | Real SampledCurve::secondDerivativeAtCenter() const { |
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| 47 | QL_REQUIRE(size()>=4, |
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| 48 | "the size of the curve must be at least 4" ); |
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| 49 | Size jmid = size()/2; |
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| 50 | if (size() % 2 == 1) { |
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| 51 | Real deltaPlus = (values_[jmid+1]-values_[jmid])/ |
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| 52 | (grid_[jmid+1]-grid_[jmid]); |
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| 53 | Real deltaMinus = (values_[jmid]-values_[jmid-1])/ |
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| 54 | (grid_[jmid]-grid_[jmid-1]); |
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| 55 | Real dS = (grid_[jmid+1]-grid_[jmid-1])/2.0; |
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| 56 | return (deltaPlus-deltaMinus)/dS; |
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| 57 | } else { |
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| 58 | Real deltaPlus = (values_[jmid+1]-values_[jmid-1])/ |
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| 59 | (grid_[jmid+1]-grid_[jmid-1]); |
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| 60 | Real deltaMinus = (values_[jmid]-values_[jmid-2])/ |
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| 61 | (grid_[jmid]-grid_[jmid-2]); |
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| 62 | return (deltaPlus-deltaMinus)/ |
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| 63 | (grid_[jmid]-grid_[jmid-1]); |
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| 64 | } |
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| 65 | } |
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| 66 | |
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| 67 | void SampledCurve::regrid(const Array &new_grid) { |
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| 68 | CubicInterpolation priceSpline(grid_.begin(), grid_.end(), |
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| 69 | values_.begin(), |
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| 70 | CubicInterpolation::Spline, false, |
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| 71 | CubicInterpolation::SecondDerivative, 0.0, |
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| 72 | CubicInterpolation::SecondDerivative, 0.0); |
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| 73 | priceSpline.update(); |
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| 74 | Array newValues(new_grid.size()); |
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| 75 | Array::iterator val; |
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| 76 | Array::const_iterator grid; |
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| 77 | for (val = newValues.begin(), grid = new_grid.begin() ; |
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| 78 | grid != new_grid.end(); |
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| 79 | ++val, ++grid) { |
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| 80 | *val = priceSpline(*grid, true); |
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| 81 | } |
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| 82 | values_.swap(from&: newValues); |
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| 83 | grid_ = new_grid; |
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| 84 | } |
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| 85 | |
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| 86 | } |
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| 87 | |
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| 88 | |
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