LogInterpolationImpl< I1, I2, Interpolator > Class Template Reference

#include <qle/math/logquadraticinterpolation.hpp>

Inheritance diagram for LogInterpolationImpl< I1, I2, Interpolator >:

Collaboration diagram for LogInterpolationImpl< I1, I2, Interpolator >:

Public Member Functions
	LogInterpolationImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Interpolator &factory=Interpolator())
QuantLib::ext::shared_ptr< Interpolation >	interpolation () const
void	update () override
Real	value (Real x) const override
Real	primitive (Real) const override
Real	derivative (Real x) const override
Real	secondDerivative (Real x) const override

Private Attributes
std::vector< Real >	logY_
QuantLib::ext::shared_ptr< Interpolation >	interpolation_
Real	multiplier_
Real	offset_

Detailed Description

template<class I1, class I2, class Interpolator>
class QuantExt::detail::LogInterpolationImpl< I1, I2, Interpolator >

Definition at line 103 of file logquadraticinterpolation.hpp.

Constructor & Destructor Documentation

LogInterpolationImpl()

LogInterpolationImpl	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		const Interpolator &	factory = Interpolator()
	)

Definition at line 106 of file logquadraticinterpolation.hpp.

             : Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin,
                                                  Interpolator::requiredPoints),
               logY_(xEnd-xBegin) {
                 interpolation_ = factory.interpolatePtr(this->xBegin_,
                                                         this->xEnd_,
                                                         logY_.begin());
             }

Member Function Documentation

interpolation()

QuantLib::ext::shared_ptr< Interpolation > interpolation

(

)

const

Definition at line 116 of file logquadraticinterpolation.hpp.

                                                                        {
                 return interpolation_;
             }

update()

void update ( )

override

Definition at line 119 of file logquadraticinterpolation.hpp.

                                    {
                 for (Size i=0; i<logY_.size(); ++i) {
                     QL_REQUIRE(this->yBegin_[i]>0.0,
                                "invalid value (" << this->yBegin_[i]
                                << ") at index " << i);
                     logY_[i] = std::log(this->yBegin_[i]);
                 }
                 interpolation_->update();
             }

value()

Real value ( Real  x ) const

override

Definition at line 128 of file logquadraticinterpolation.hpp.

                                               {
                 return std::exp((*interpolation_)(x, true));
             }

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primitive()

Real primitive ( Real  ) const

override

Definition at line 131 of file logquadraticinterpolation.hpp.

                                                 {
                 QL_FAIL("LogInterpolation primitive not implemented");
             }

derivative()

Real derivative ( Real  x ) const

override

Definition at line 134 of file logquadraticinterpolation.hpp.

                                                    {
                 return value(x)*interpolation_->derivative(x, true);
             }

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secondDerivative()

Real secondDerivative ( Real  x ) const

override

Definition at line 137 of file logquadraticinterpolation.hpp.

                                                          {
                 return value(x)*interpolation_->secondDerivative(x, true) +
                        derivative(x)*interpolation_->derivative(x, true);
             }

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Member Data Documentation

logY_

std::vector<Real> logY_

private

Definition at line 142 of file logquadraticinterpolation.hpp.

interpolation_

QuantLib::ext::shared_ptr<Interpolation> interpolation_

private

Definition at line 143 of file logquadraticinterpolation.hpp.

multiplier_

Real multiplier_

private

Definition at line 144 of file logquadraticinterpolation.hpp.

offset_

Real offset_

private

Definition at line 145 of file logquadraticinterpolation.hpp.