timegrid.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2005, 2006 StatPro Italia srl
 
 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
 <http://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.
*/
 
#include <ql/timegrid.hpp>
#include <iomanip>
 
namespace QuantLib {
 
    TimeGrid::TimeGrid(Time end, Size steps) {
        // We seem to assume that the grid begins at 0.
        // Let's enforce the assumption for the time being
        // (even though I'm not sure that I agree.)
        QL_REQUIRE(end > 0.0,
                   "negative times not allowed");
        Time dt = end/steps;
        times_.reserve(steps+1);
        for (Size i=0; i<=steps; i++)
            times_.push_back(dt*i);
 
        mandatoryTimes_ = std::vector<Time>(1);
        mandatoryTimes_[0] = end;
 
        dt_ = std::vector<Time>(steps,dt);
    }
 
    Size TimeGrid::index(Time t) const {
        Size i = closestIndex(t);
        if (close_enough(t,times_[i])) {
            return i;
        } else {
            if (t < times_.front()) {
                QL_FAIL("using inadequate time grid: all nodes "
                        "are later than the required time t = "
                        << std::setprecision(12) << t
                        << " (earliest node is t1 = "
                        << std::setprecision(12) << times_.front() << ")");
            } else if (t > times_.back()) {
                QL_FAIL("using inadequate time grid: all nodes "
                        "are earlier than the required time t = "
                        << std::setprecision(12) << t
                        << " (latest node is t1 = "
                        << std::setprecision(12) << times_.back() << ")");
            } else {
                Size j, k;
                if (t > times_[i]) {
                    j = i;
                    k = i+1;
                } else {
                    j = i-1;
                    k = i;
                }
                QL_FAIL("using inadequate time grid: the nodes closest "
                        "to the required time t = "
                        << std::setprecision(12) << t
                        << " are t1 = "
                        << std::setprecision(12) << times_[j]
                        << " and t2 = "
                        << std::setprecision(12) << times_[k]);
            }
        }
    }
 
    Size TimeGrid::closestIndex(Time t) const {
        auto begin = times_.begin(), end = times_.end();
        auto result = std::lower_bound(begin, end, t);
        if (result == begin) {
            return 0;
        } else if (result == end) {
            return size()-1;
        } else {
            Time dt1 = *result - t;
            Time dt2 = t - *(result-1);
            if (dt1 < dt2)
                return result-begin;
            else
                return (result-begin)-1;
        }
    }
 
}