QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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bspline.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Allen Kuo
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20#include <ql/math/bspline.hpp>
21#include <ql/errors.hpp>
22
23namespace QuantLib {
24
26 Natural n,
27 const std::vector<Real>& knots)
28 : p_(p), n_(n), knots_(knots) {
29
30 QL_REQUIRE(p >= 1, "lowest degree B-spline has p = 1");
31 QL_REQUIRE(n >= 1, "number of control points n+1 >= 2");
32 QL_REQUIRE(p <= n, "must have p <= n");
33
34 QL_REQUIRE(knots.size() == p+n+2,"number of knots must equal p+n+2");
35
36 for (Size i=0; i<knots.size()-1; ++i) {
37 QL_REQUIRE(knots[i] <= knots[i+1],
38 "knots points must be nondecreasing");
39 }
40 }
41
42
44 QL_REQUIRE(i <= n_, "i must not be greater than n");
45 return N(i,p_,x);
46 }
47
48
50
51 if (p==0) {
52 return (knots_[i] <= x && x < knots_[i+1]) ? 1.0 : 0.0;
53 } else {
54 return ((x - knots_[i])/(knots_[i+p] - knots_[i]))*N(i,p-1,x) +
55 ((knots_[i+p+1]-x)/(knots_[i+p+1]-knots_[i+1]))* N(i+1,p-1,x);
56 }
57 }
58
59}
60
B-spline basis functions.
Real N(Natural i, Natural p, Real x) const
Definition: bspline.cpp:49
std::vector< Real > knots_
Definition: bspline.hpp:73
Real operator()(Natural i, Real x) const
Definition: bspline.cpp:43
BSpline(Natural p, Natural n, const std::vector< Real > &knots)
Definition: bspline.cpp:25
Classes and functions for error handling.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
std::size_t Size
size of a container
Definition: types.hpp:58
const HestonParams p_
Definition: any.hpp:35