bspline.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Allen Kuo
 
 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.
*/
 
#ifndef quantlib_bspline_hpp
#define quantlib_bspline_hpp
 
#include <ql/types.hpp>
#include <vector>
 
namespace QuantLib {
 
 
    class BSpline {
      public:
        BSpline(Natural p,
                Natural n,
                const std::vector<Real>& knots);
 
        Real operator()(Natural i, Real x) const;
 
      private:
        // recursive definition of N, the B-spline basis function
        Real N(Natural i, Natural p, Real x) const;
        // e.g. p_=2 is a quadratic B-spline, p_=3 is a cubic B-Spline, etc.
        Natural p_;
        // n_ + 1 =  "control points" = max number of basis functions
        Natural n_;
        std::vector<Real> knots_;
    };
 
}
 
 
#endif