/* -*- 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. */ #include <ql/math/bspline.hpp> #include <ql/errors.hpp> namespace QuantLib { BSpline::BSpline(Natural p, Natural n, const std::vector<Real>& knots) : p_(p), n_(n), knots_(knots) { QL_REQUIRE(p >= 1, "lowest degree B-spline has p = 1"); QL_REQUIRE(n >= 1, "number of control points n+1 >= 2"); QL_REQUIRE(p <= n, "must have p <= n"); QL_REQUIRE(knots.size() == p+n+2,"number of knots must equal p+n+2"); for (Size i=0; i<knots.size()-1; ++i) { QL_REQUIRE(knots[i] <= knots[i+1], "knots points must be nondecreasing"); } } Real BSpline::operator()(Natural i, Real x) const { QL_REQUIRE(i <= n_, "i must not be greater than n"); return N(i,p_,x); } Real BSpline::N(Natural i, Natural p, Real x) const { if (p==0) { return (knots_[i] <= x && x < knots_[i+1]) ? 1.0 : 0.0; } else { return ((x - knots_[i])/(knots_[i+p] - knots_[i]))*N(i,p-1,x) + ((knots_[i+p+1]-x)/(knots_[i+p+1]-knots_[i+1]))* N(i+1,p-1,x); } } }

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