| 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) 2001, 2002, 2003 Sadruddin Rejeb |
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| 5 | Copyright (C) 2005, 2006 StatPro Italia srl |
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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 | #include <ql/timegrid.hpp> |
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| 22 | #include <iomanip> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | TimeGrid::TimeGrid(Time end, Size steps) { |
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| 27 | // We seem to assume that the grid begins at 0. |
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| 28 | // Let's enforce the assumption for the time being |
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| 29 | // (even though I'm not sure that I agree.) |
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| 30 | QL_REQUIRE(end > 0.0, |
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| 31 | "negative times not allowed" ); |
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| 32 | Time dt = end/steps; |
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| 33 | times_.reserve(n: steps+1); |
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| 34 | for (Size i=0; i<=steps; i++) |
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| 35 | times_.push_back(x: dt*i); |
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| 36 | |
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| 37 | mandatoryTimes_ = std::vector<Time>(1); |
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| 38 | mandatoryTimes_[0] = end; |
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| 39 | |
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| 40 | dt_ = std::vector<Time>(steps,dt); |
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| 41 | } |
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| 42 | |
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| 43 | Size TimeGrid::index(Time t) const { |
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| 44 | Size i = closestIndex(t); |
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| 45 | if (close_enough(x: t,y: times_[i])) { |
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| 46 | return i; |
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| 47 | } else { |
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| 48 | if (t < times_.front()) { |
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| 49 | QL_FAIL("using inadequate time grid: all nodes " |
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| 50 | "are later than the required time t = " |
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| 51 | << std::setprecision(12) << t |
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| 52 | << " (earliest node is t1 = " |
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| 53 | << std::setprecision(12) << times_.front() << ")" ); |
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| 54 | } else if (t > times_.back()) { |
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| 55 | QL_FAIL("using inadequate time grid: all nodes " |
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| 56 | "are earlier than the required time t = " |
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| 57 | << std::setprecision(12) << t |
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| 58 | << " (latest node is t1 = " |
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| 59 | << std::setprecision(12) << times_.back() << ")" ); |
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| 60 | } else { |
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| 61 | Size j, k; |
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| 62 | if (t > times_[i]) { |
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| 63 | j = i; |
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| 64 | k = i+1; |
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| 65 | } else { |
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| 66 | j = i-1; |
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| 67 | k = i; |
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| 68 | } |
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| 69 | QL_FAIL("using inadequate time grid: the nodes closest " |
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| 70 | "to the required time t = " |
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| 71 | << std::setprecision(12) << t |
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| 72 | << " are t1 = " |
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| 73 | << std::setprecision(12) << times_[j] |
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| 74 | << " and t2 = " |
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| 75 | << std::setprecision(12) << times_[k]); |
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| 76 | } |
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| 77 | } |
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| 78 | } |
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| 79 | |
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| 80 | Size TimeGrid::closestIndex(Time t) const { |
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| 81 | auto begin = times_.begin(), end = times_.end(); |
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| 82 | auto result = std::lower_bound(first: begin, last: end, val: t); |
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| 83 | if (result == begin) { |
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| 84 | return 0; |
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| 85 | } else if (result == end) { |
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| 86 | return size()-1; |
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| 87 | } else { |
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| 88 | Time dt1 = *result - t; |
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| 89 | Time dt2 = t - *(result-1); |
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| 90 | if (dt1 < dt2) |
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| 91 | return result-begin; |
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| 92 | else |
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| 93 | return (result-begin)-1; |
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| 94 | } |
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| 95 | } |
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| 96 | |
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| 97 | } |
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| 98 | |
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| 99 | |
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