Interpolation::Interpolation(const shared_ptr<ValueObject>& prop,
const vector<Real>& x,
const vector<Handle<Quote> >& yh,
bool permanent)
: Extrapolator(prop, permanent), n_(x.size()), x_(n_), y_(n_), yh_(n_)
{
QL_REQUIRE(!x.empty(), "empty x vector");
QL_REQUIRE(n_==yh.size(),
"unmatched size between x (" << n_ << ") and y(" <<
yh.size() << ")");
vector<pair<Real, Handle<Quote> > > pairs(n_);
for (Size i=0; i<n_; ++i)
pairs[i] = std::make_pair<Real, Handle<Quote> >(x[i], yh[i]);
std::sort(pairs.begin(), pairs.end(), QuoteHandleSorter());
x_[0] = pairs[0].first;
yh_[0] = pairs[0].second;
registerWith(yh_[0]);
vector<pair<Real, Handle<Quote> > >::iterator j = pairs.begin()+1;
for (Size i=1; i<n_; ++i, ++j) {
QL_REQUIRE(x_[i-1] != j->first,
"duplicated x value: " << j->first);
x_[i] = j->first;
yh_[i] = j->second;
registerWith(yh_[i]);
}
// temporary patch
for (Size i=0; i<n_; ++i) {
if (yh_[i]->isValid())
y_[i] = yh_[i]->value();
else
y_[i] = 1.0;
}
}
Interpolation::Interpolation(const shared_ptr<ValueObject>& prop,
const vector<Real>& x,
const vector<Handle<Quote> >& yh,
bool permanent)
: Extrapolator(prop, permanent)
{
QL_REQUIRE(!x.empty(), "empty x vector");
Size n = x.size();
QL_REQUIRE(n==yh.size(),
"unmatched size between x (" << n << ") and y(" <<
yh.size() << ")");
x_.reserve(n);
yh_.reserve(n);
y_.reserve(n);
vector<pair<Real, Handle<Quote> > > pairs(n);
for (Size i=0; i<n; ++i)
pairs[i] = std::make_pair(x[i], yh[i]);
std::sort(pairs.begin(), pairs.end(), QuoteHandleSorter());
vector<pair<Real, Handle<Quote> > >::iterator j=pairs.begin();
x_.push_back(j->first);
yh_.push_back(j->second);
registerWith(yh_.back());
yh_.back()->isValid() ? y_.push_back(yh_.back()->value())
: y_.push_back(1.0);
for (j=pairs.begin()+1; j<pairs.end(); ++j) {
if (x_.back() == j->first) {
QL_ENSURE(yh_.back() == j->second,
"duplicated x value (" << j->first <<
") with different y values");
} else {
x_.push_back(j->first);
yh_.push_back(j->second);
registerWith(yh_.back());
yh_.back()->isValid() ? y_.push_back(yh_.back()->value())
: y_.push_back(1.0);
}
}
n_ = x_.size();
}