piecewisefunction.hpp File Reference

utility macro for piecewise functions More...

#include <ql/qldefines.hpp>
#include <algorithm>

Go to the source code of this file.

Macros
#define	QL_PIECEWISE_FUNCTION(X, Y, x)

Detailed Description

utility macro for piecewise functions

Definition in file piecewisefunction.hpp.

Macro Definition Documentation

QL_PIECEWISE_FUNCTION

#define QL_PIECEWISE_FUNCTION	(		X,
			Y,
			x
	)

Value:

    Y[std::min<std::size_t>(                                                   \
        std::upper_bound(X.begin(), X.end(), x) - X.begin(), Y.size() - 1)]

This defines a piecewise constant function which is RCLL and takes the values Y[0], Y[1], ... Y[n] on the intervals (-\infty, X[0]), [ X[1], X[2] ), ... , [ X[n-1], \infty) Normally Y.size() should be X.size() + 1. If more values for Y are given, they are ignored. If less values are given the last given value is kept the same for the remaining intervals. If X.size() is 0 a constant function taking the value Y[0] is evaluated.

Warning:

If Y.size() is 0, an invalid access occurs. This condition is not checked for performance reasons.

Definition at line 43 of file piecewisefunction.hpp.