QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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piecewiseintegral.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2015 Peter Caspers
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
21#include <algorithm>
22#include <utility>
23
24namespace QuantLib {
25
26 PiecewiseIntegral::PiecewiseIntegral(ext::shared_ptr<Integrator> integrator,
27 std::vector<Real> criticalPoints,
28 const bool avoidCriticalPoints)
29 : Integrator(1.0, 1), integrator_(std::move(integrator)),
30 criticalPoints_(std::move(criticalPoints)),
31 eps_(avoidCriticalPoints ? (1.0 + QL_EPSILON) : 1.0) {
32
33 std::sort(criticalPoints_.begin(), criticalPoints_.end());
34 std::vector<Real>::const_iterator end =
35 std::unique(criticalPoints_.begin(), criticalPoints_.end(),
36 static_cast<bool (*)(Real, Real)>(close_enough));
37 criticalPoints_.resize(end - criticalPoints_.begin());
38 }
39
40} // namespace QuantLib
std::vector< Real > criticalPoints_
PiecewiseIntegral(ext::shared_ptr< Integrator > integrator, std::vector< Real > criticalPoints, bool avoidCriticalPoints=true)
#define QL_EPSILON
Definition: qldefines.hpp:178
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
bool close_enough(const Quantity &m1, const Quantity &m2, Size n)
Definition: quantity.cpp:182
STL namespace.
Integral of a piecewise well behaved function using a custom integrator for the pieces....