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External module "ql/experimental/math/piecewisefunction"

Index

Functions

QL_PIECEWISE_FUNCTION

  • 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.

    Parameters

    Returns Real