QuantLib includes numerous mathematical and function-related tools. And, it often makes the things very easy for us. As an illustration, we implement the linear interpolation function.

In the example code below, we compute linearly interpolated f(x) values for the corresponding x = 1,5 and 3,5.

#include<ql\quantlib.hpp>
#include<vector>

using namespace QuantLib;
using std::vector;
using std::cout;
using std::endl;

int main (int, char*[]){

	// Vector creation
	double xVectorData[]= {0, 1, 2, 3, 4};
	double yVectorData[]= {2, 3.5, 3, 2.75, 6};
	vector<double>xVector(xVectorData, xVectorData+5);
	vector<double>yVector(yVectorData, yVectorData+5);

	// Implementation of the Linear interpolation function
	LinearInterpolation linInt (
		xVector.begin(),
		xVector.end(),
		yVector.begin());

	// Outputting
	cout << "Linearly interpolated value for :" << endl;
	cout << "x = 1.5 is " << linInt (1.5) << endl;
	cout << "x = 3.5 is " << linInt (3.5) << endl;

	return 0;
}