XABRInterpolationImpl< I1, I2, Model > Class Template Reference

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

Inheritance diagram for XABRInterpolationImpl< I1, I2, Model >:

Collaboration diagram for XABRInterpolationImpl< I1, I2, Model >:

Classes
class	XABRError

Public Member Functions
	XABRInterpolationImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, const std::vector< Real > &params, const std::vector< bool > &paramIsFixed, bool vegaWeighted, ext::shared_ptr< EndCriteria > endCriteria, ext::shared_ptr< OptimizationMethod > optMethod, const Real errorAccept, const bool useMaxError, const Size maxGuesses, const std::vector< Real > &addParams=std::vector< Real >(), VolatilityType volatilityType=VolatilityType::ShiftedLognormal)
void	update () override
Real	value (Real x) const override
Real	primitive (Real) const override
Real	derivative (Real) const override
Real	secondDerivative (Real) const override
Real	interpolationSquaredError () const
Array	interpolationErrors () const
Real	interpolationError () const
Real	interpolationMaxError () const
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
Public Member Functions inherited from XABRCoeffHolder< Model >
	XABRCoeffHolder (const Time t, const Real &forward, const std::vector< Real > &params, const std::vector< bool > &paramIsFixed, std::vector< Real > addParams)
virtual	~XABRCoeffHolder ()=default
void	updateModelInstance ()

Private Attributes
ext::shared_ptr< EndCriteria >	endCriteria_
ext::shared_ptr< OptimizationMethod >	optMethod_
const Real	errorAccept_
const bool	useMaxError_
const Size	maxGuesses_
bool	vegaWeighted_
NoConstraint	constraint_
VolatilityType	volatilityType_

Additional Inherited Members
Public Attributes inherited from XABRCoeffHolder< Model >
Real	t_
const Real &	forward_
std::vector< Real >	params_
std::vector< bool >	paramIsFixed_
std::vector< Real >	weights_
Real	error_
Real	maxError_
EndCriteria::Type	XABREndCriteria_ = EndCriteria::None
ext::shared_ptr< typename Model::type >	modelInstance_
std::vector< Real >	addParams_
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, typename Model>
class QuantLib::detail::XABRInterpolationImpl< I1, I2, Model >

Definition at line 102 of file xabrinterpolation.hpp.

Constructor & Destructor Documentation

XABRInterpolationImpl()

XABRInterpolationImpl	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		Time	t,
		const Real &	forward,
		const std::vector< Real > &	params,
		const std::vector< bool > &	paramIsFixed,
		bool	vegaWeighted,
		ext::shared_ptr< EndCriteria >	endCriteria,
		ext::shared_ptr< OptimizationMethod >	optMethod,
		const Real	errorAccept,
		const bool	useMaxError,
		const Size	maxGuesses,
		const std::vector< Real > &	addParams = std::vector<Real>(),
		VolatilityType	volatilityType = VolatilityType::ShiftedLognormal
	)

Definition at line 105 of file xabrinterpolation.hpp.

Member Function Documentation

update()

void update ( )

overridevirtual

Implements Interpolation::Impl.

Definition at line 139 of file xabrinterpolation.hpp.

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value()

Real value ( Real  x ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 241 of file xabrinterpolation.hpp.

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primitive()

Real primitive ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 243 of file xabrinterpolation.hpp.

derivative()

Real derivative ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 244 of file xabrinterpolation.hpp.

secondDerivative()

Real secondDerivative ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 245 of file xabrinterpolation.hpp.

interpolationSquaredError()

Real interpolationSquaredError

(

)

const

Definition at line 248 of file xabrinterpolation.hpp.

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interpolationErrors()

Array interpolationErrors

(

)

const

Definition at line 261 of file xabrinterpolation.hpp.

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interpolationError()

Real interpolationError

(

)

const

Definition at line 273 of file xabrinterpolation.hpp.

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interpolationMaxError()

Real interpolationMaxError

(

)

const

Definition at line 279 of file xabrinterpolation.hpp.

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Member Data Documentation

endCriteria_

ext::shared_ptr<EndCriteria> endCriteria_

private

Definition at line 316 of file xabrinterpolation.hpp.

optMethod_

ext::shared_ptr<OptimizationMethod> optMethod_

private

Definition at line 317 of file xabrinterpolation.hpp.

errorAccept_

const Real errorAccept_

private

Definition at line 318 of file xabrinterpolation.hpp.

useMaxError_

const bool useMaxError_

private

Definition at line 319 of file xabrinterpolation.hpp.

maxGuesses_

const Size maxGuesses_

private

Definition at line 320 of file xabrinterpolation.hpp.

vegaWeighted_

bool vegaWeighted_

private

Definition at line 321 of file xabrinterpolation.hpp.

constraint_

NoConstraint constraint_

private

Definition at line 322 of file xabrinterpolation.hpp.

volatilityType_

VolatilityType volatilityType_

private

Definition at line 323 of file xabrinterpolation.hpp.