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Add Cubic__* and LinearThenFlat interpolations #856

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Add Cubic__* and LinearThenFlat interpolations #856

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24 changes: 24 additions & 0 deletions SWIG/interpolation.i
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Original file line number Diff line number Diff line change
Expand Up @@ -140,6 +140,18 @@ using QuantLib::Cubic;
using QuantLib::Bicubic;
using QuantLib::ConvexMonotone;
using QuantLib::DefaultLogCubic;
using QuantLib::LinearThenFlat;
using QuantLib::Cubic__SplineOvershootingMinimization1;
using QuantLib::Cubic__SplineOvershootingMinimization2;
using QuantLib::Cubic__FritschButland_monotonic;
using QuantLib::Cubic__FritschButland_nonMonotonic;
using QuantLib::Cubic__Kruger;
using QuantLib::Cubic__MonotonicKruger;
using QuantLib::Cubic__MonotonicParabolic;
using QuantLib::Cubic__Monotonic_NaturalSpline;
using QuantLib::Cubic__NaturalSpline;
using QuantLib::Cubic__Akima;
using QuantLib::Cubic__Parabolic;

class MonotonicCubic : public Cubic {
public:
Expand Down Expand Up @@ -267,6 +279,7 @@ struct MixedInterpolation {
struct BackwardFlat {};
struct ForwardFlat {};
struct Linear {};
struct LinearThenFlat {};
struct LogLinear {};
struct Cubic {
#if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
Expand Down Expand Up @@ -311,6 +324,17 @@ struct ParabolicCubic : Cubic {};
struct MonotonicParabolicCubic : Cubic {};
struct LogParabolicCubic : LogCubic {};
struct MonotonicLogParabolicCubic : LogCubic {};
struct Cubic__SplineOvershootingMinimization1{};
struct Cubic__SplineOvershootingMinimization2{};
struct Cubic__FritschButland_monotonic{};
struct Cubic__FritschButland_nonMonotonic{};
struct Cubic__Kruger {};
struct Cubic__MonotonicKruger {};
struct Cubic__MonotonicParabolic {};
struct Cubic__Monotonic_NaturalSpline {};
struct Cubic__NaturalSpline {};
struct Cubic__Akima {};
struct Cubic__Parabolic {};

%define make_mixed_linear_cubic(T)
%{
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22 changes: 22 additions & 0 deletions SWIG/piecewiseyieldcurve.i
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Expand Up @@ -31,6 +31,7 @@ using QuantLib::Discount;
using QuantLib::ZeroYield;
using QuantLib::ForwardRate;
using QuantLib::PiecewiseYieldCurve;
using QuantLib::SimpleZeroYield;
%}

%{
Expand Down Expand Up @@ -177,6 +178,27 @@ export_piecewise_curve(PiecewiseParabolicCubicZero,ZeroYield,ParabolicCubic);
export_piecewise_curve(PiecewiseMonotonicParabolicCubicZero,ZeroYield,MonotonicParabolicCubic);
export_piecewise_curve(PiecewiseLogParabolicCubicDiscount,Discount,LogParabolicCubic);
export_piecewise_curve(PiecewiseMonotonicLogParabolicCubicDiscount,Discount,MonotonicLogParabolicCubic);
export_piecewise_curve(PiecewiseForwardRateBackward,ForwardRate,BackwardFlat);
export_piecewise_curve(PiecewiseForwardRateLinear,ForwardRate,Linear);
export_piecewise_curve(PiecewiseForwardRateCubic,ForwardRate,Cubic);
export_piecewise_curve(PiecewiseZeroYieldBackward,ZeroYield,BackwardFlat);
export_piecewise_curve(PiecewiseZeroYieldForward,ZeroYield,ForwardFlat);
export_piecewise_curve(PiecewiseZeroYieldLinear,ZeroYield,Linear);
export_piecewise_curve(PiecewiseZeroYieldLinearThenFlat,ZeroYield,LinearThenFlat);
export_piecewise_curve(PiecewiseZeroYieldCubic,ZeroYield,Cubic);
export_piecewise_curve(PiecewiseZeroYield_Cubic__SplineOvershootingMinimization2, ZeroYield,Cubic__SplineOvershootingMinimization2 );
export_piecewise_curve(PiecewiseZeroYield_Cubic__FritschButland_monotonic, ZeroYield,Cubic__FritschButland_monotonic);
export_piecewise_curve(PiecewiseZeroYield_Cubic__Kruger, ZeroYield,Cubic__Kruger);
export_piecewise_curve(PiecewiseZeroYield_Cubic__MonotonicKruger, ZeroYield,Cubic__MonotonicKruger );
export_piecewise_curve(PiecewiseZeroYield_Cubic__MonotonicParabolic, ZeroYield,Cubic__MonotonicParabolic );
export_piecewise_curve(PiecewiseZeroYield_Cubic__Monotonic_NaturalSpline, ZeroYield,Cubic__Monotonic_NaturalSpline);
export_piecewise_curve(PiecewiseZeroYield_Cubic__NaturalSpline, ZeroYield,Cubic__NaturalSpline );
export_piecewise_curve(PiecewiseZeroYield_Cubic__Parabolic, ZeroYield,Cubic__Parabolic );
export_piecewise_curve(PiecewiseZeroYield_Cubic__SplineOvershootingMinimization1, ZeroYield,Cubic__SplineOvershootingMinimization1 );
export_piecewise_curve(PiecewiseDiscountLogLinear,Discount,LogLinear);
export_piecewise_curve(PiecewiseDiscountLinear,Discount,Linear);
export_piecewise_curve(PiecewiseDiscountCubic,Discount,Cubic);
export_piecewise_curve(PiecewiseYieldSimpleZeroYieldCurveLinear,SimpleZeroYield,Linear);


// global boostrapper
Expand Down
4 changes: 4 additions & 0 deletions SWIG/zerocurve.i
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Expand Up @@ -82,6 +82,10 @@ deprecate_feature(KrugerZeroCurve, CubicZeroCurve);
#else
%template(KrugerZeroCurve) InterpolatedZeroCurve<Kruger>;
#endif
%shared_ptr(InterpolatedZeroCurve<LinearThenFlat>);
%shared_ptr(InterpolatedZeroCurve<ForwardFlat>);
%template(ZeroCurveLinearThenFlat) InterpolatedZeroCurve<LinearThenFlat>;
%template(ZeroCurveForwardFlat) InterpolatedZeroCurve<ForwardFlat>;
%template(ParabolicCubicZeroCurve) InterpolatedZeroCurve<ParabolicCubic>;
%template(MonotonicParabolicCubicZeroCurve) InterpolatedZeroCurve<MonotonicParabolicCubic>;

Expand Down