QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Convex-monotone interpolation factory and traits. More...
#include <convexmonotoneinterpolation.hpp>
Public Member Functions | |
ConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) | |
template<class I1 , class I2 > | |
Interpolation | interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const |
template<class I1 , class I2 > | |
Interpolation | localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Size localisation, Interpolation &prevInterpolation, Size finalSize) const |
Static Public Attributes | |
static const bool | global = true |
static const Size | requiredPoints = 2 |
static const Size | dataSizeAdjustment = 1 |
Private Attributes | |
Real | quadraticity_ |
Real | monotonicity_ |
bool | forcePositive_ |
Convex-monotone interpolation factory and traits.
Definition at line 90 of file convexmonotoneinterpolation.hpp.
ConvexMonotone | ( | Real | quadraticity = 0.3 , |
Real | monotonicity = 0.7 , |
||
bool | forcePositive = true |
||
) |
Definition at line 96 of file convexmonotoneinterpolation.hpp.
Interpolation interpolate | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin | ||
) | const |
Definition at line 103 of file convexmonotoneinterpolation.hpp.
Interpolation localInterpolate | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin, | ||
Size | localisation, | ||
Interpolation & | prevInterpolation, | ||
Size | finalSize | ||
) | const |
Definition at line 113 of file convexmonotoneinterpolation.hpp.
|
static |
Definition at line 92 of file convexmonotoneinterpolation.hpp.
|
static |
Definition at line 93 of file convexmonotoneinterpolation.hpp.
|
static |
Definition at line 94 of file convexmonotoneinterpolation.hpp.
|
private |
Definition at line 157 of file convexmonotoneinterpolation.hpp.
|
private |
Definition at line 157 of file convexmonotoneinterpolation.hpp.
|
private |
Definition at line 158 of file convexmonotoneinterpolation.hpp.