CubicFlat Class Reference

Cubic interpolation and flat extrapolation factory and traits. More...

#include <qle/math/flatextrapolation.hpp>

Collaboration diagram for CubicFlat:

Public Member Functions
	CubicFlat (QuantLib::CubicInterpolation::DerivativeApprox da=QuantLib::CubicInterpolation::Kruger, bool monotonic=false, QuantLib::CubicInterpolation::BoundaryCondition leftCondition=QuantLib::CubicInterpolation::SecondDerivative, QuantLib::Real leftConditionValue=0.0, QuantLib::CubicInterpolation::BoundaryCondition rightCondition=QuantLib::CubicInterpolation::SecondDerivative, QuantLib::Real rightConditionValue=0.0)
template<class I1 , class I2 >
Interpolation	interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const

Static Public Attributes
static const bool	global = true
static const Size	requiredPoints = 2

Private Attributes
QuantLib::CubicInterpolation::DerivativeApprox	da_
bool	monotonic_
QuantLib::CubicInterpolation::BoundaryCondition	leftType_
QuantLib::CubicInterpolation::BoundaryCondition	rightType_
QuantLib::Real	leftValue_
QuantLib::Real	rightValue_

Detailed Description

Cubic interpolation and flat extrapolation factory and traits.

Definition at line 127 of file flatextrapolation.hpp.

Constructor & Destructor Documentation

CubicFlat()

CubicFlat	(	QuantLib::CubicInterpolation::DerivativeApprox	da = QuantLib::CubicInterpolation::Kruger,
		bool	monotonic = false,
		QuantLib::CubicInterpolation::BoundaryCondition	leftCondition = QuantLib::CubicInterpolation::SecondDerivative,
		QuantLib::Real	leftConditionValue = 0.0,
		QuantLib::CubicInterpolation::BoundaryCondition	rightCondition = QuantLib::CubicInterpolation::SecondDerivative,
		QuantLib::Real	rightConditionValue = 0.0
	)

Definition at line 129 of file flatextrapolation.hpp.

        : da_(da), monotonic_(monotonic), leftType_(leftCondition), rightType_(rightCondition),
          leftValue_(leftConditionValue), rightValue_(rightConditionValue) {}

Member Function Documentation

interpolate()

Interpolation interpolate	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin
	)		const

Definition at line 139 of file flatextrapolation.hpp.

                                                                                                                      {
        return FlatExtrapolation(QuantLib::ext::make_shared<CubicInterpolation>(
            xBegin, xEnd, yBegin, da_, monotonic_, leftType_, leftValue_, rightType_, rightValue_));
    }

Member Data Documentation

global

const bool global = true

static

Definition at line 144 of file flatextrapolation.hpp.

requiredPoints

const Size requiredPoints = 2

static

Definition at line 145 of file flatextrapolation.hpp.

da_

QuantLib::CubicInterpolation::DerivativeApprox da_

private

Definition at line 148 of file flatextrapolation.hpp.

monotonic_

bool monotonic_

private

Definition at line 149 of file flatextrapolation.hpp.

leftType_

QuantLib::CubicInterpolation::BoundaryCondition leftType_

private

Definition at line 150 of file flatextrapolation.hpp.

rightType_

QuantLib::CubicInterpolation::BoundaryCondition rightType_

private

Definition at line 151 of file flatextrapolation.hpp.

leftValue_

QuantLib::Real leftValue_

private

Definition at line 152 of file flatextrapolation.hpp.

rightValue_

QuantLib::Real rightValue_

private

Definition at line 153 of file flatextrapolation.hpp.