ConvexMonotoneImpl< I1, I2 > Class Template Reference

#include <ql/math/interpolations/convexmonotoneinterpolation.hpp>

Inheritance diagram for ConvexMonotoneImpl< I1, I2 >:

Collaboration diagram for ConvexMonotoneImpl< I1, I2 >:

Public Types
enum	SectionType { EverywhereConstant , ConstantGradient , QuadraticMinimum , QuadraticMaximum }

Public Member Functions
	ConvexMonotoneImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool constantLastPeriod, const helper_map &preExistingHelpers)
void	update () override
Real	value (Real x) const override
Real	primitive (Real x) const override
Real	derivative (Real) const override
Real	secondDerivative (Real) const override
helper_map	getExistingHelpers ()
Public Member Functions inherited from Interpolation::templateImpl< I1, I2 >
	templateImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const int requiredPoints=2)
Real	xMin () const override
Real	xMax () const override
std::vector< Real >	xValues () const override
std::vector< Real >	yValues () const override
bool	isInRange (Real x) const override
Public Member Functions inherited from Interpolation::Impl
virtual	~Impl ()=default
virtual void	update ()=0
virtual Real	xMin () const =0
virtual Real	xMax () const =0
virtual std::vector< Real >	xValues () const =0
virtual std::vector< Real >	yValues () const =0
virtual bool	isInRange (Real) const =0
virtual Real	value (Real) const =0
virtual Real	primitive (Real) const =0
virtual Real	derivative (Real) const =0
virtual Real	secondDerivative (Real) const =0

Private Types
typedef std::map< Real, ext::shared_ptr< SectionHelper > >	helper_map

Private Attributes
helper_map	sectionHelpers_
helper_map	preSectionHelpers_
ext::shared_ptr< SectionHelper >	extrapolationHelper_
bool	forcePositive_
bool	constantLastPeriod_
Real	quadraticity_
Real	monotonicity_
Size	length_

Additional Inherited Members
Protected Member Functions inherited from Interpolation::templateImpl< I1, I2 >
Size	locate (Real x) const
Protected Attributes inherited from Interpolation::templateImpl< I1, I2 >
I1	xBegin_
I1	xEnd_
I2	yBegin_

Detailed Description

template<class I1, class I2>
class QuantLib::detail::ConvexMonotoneImpl< I1, I2 >

Definition at line 174 of file convexmonotoneinterpolation.hpp.

Member Typedef Documentation

helper_map

typedef std::map<Real, ext::shared_ptr<SectionHelper> > helper_map

private

Definition at line 176 of file convexmonotoneinterpolation.hpp.

Member Enumeration Documentation

SectionType

enum SectionType

Enumerator
EverywhereConstant
ConstantGradient
QuadraticMinimum
QuadraticMaximum

Definition at line 178 of file convexmonotoneinterpolation.hpp.

Constructor & Destructor Documentation

ConvexMonotoneImpl()

ConvexMonotoneImpl	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		Real	quadraticity,
		Real	monotonicity,
		bool	forcePositive,
		bool	constantLastPeriod,
		const helper_map &	preExistingHelpers
	)

Definition at line 185 of file convexmonotoneinterpolation.hpp.

Member Function Documentation

update()

void update

overridevirtual

Implements Interpolation::Impl.

Definition at line 588 of file convexmonotoneinterpolation.hpp.

value()

Real value ( Real  x ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 833 of file convexmonotoneinterpolation.hpp.

primitive()

Real primitive ( Real  x ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 842 of file convexmonotoneinterpolation.hpp.

derivative()

Real derivative ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 216 of file convexmonotoneinterpolation.hpp.

secondDerivative()

Real secondDerivative ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 219 of file convexmonotoneinterpolation.hpp.

getExistingHelpers()

helper_map getExistingHelpers

(

)

Definition at line 224 of file convexmonotoneinterpolation.hpp.

Member Data Documentation

sectionHelpers_

helper_map sectionHelpers_

private

Definition at line 231 of file convexmonotoneinterpolation.hpp.

preSectionHelpers_

helper_map preSectionHelpers_

private

Definition at line 232 of file convexmonotoneinterpolation.hpp.

extrapolationHelper_

ext::shared_ptr<SectionHelper> extrapolationHelper_

private

Definition at line 233 of file convexmonotoneinterpolation.hpp.

forcePositive_

bool forcePositive_

private

Definition at line 234 of file convexmonotoneinterpolation.hpp.

constantLastPeriod_

bool constantLastPeriod_

private

Definition at line 234 of file convexmonotoneinterpolation.hpp.

quadraticity_

Real quadraticity_

private

Definition at line 235 of file convexmonotoneinterpolation.hpp.

monotonicity_

Real monotonicity_

private

Definition at line 236 of file convexmonotoneinterpolation.hpp.

length_

Size length_

private

Definition at line 237 of file convexmonotoneinterpolation.hpp.