QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Abcd interpolation between discrete points. More...
#include <abcdinterpolation.hpp>
Public Member Functions | |
template<class I1 , class I2 > | |
AbcdInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17, bool aIsFixed=false, bool bIsFixed=false, bool cIsFixed=false, bool dIsFixed=false, bool vegaWeighted=false, const ext::shared_ptr< EndCriteria > &endCriteria=ext::shared_ptr< EndCriteria >(), const ext::shared_ptr< OptimizationMethod > &optMethod=ext::shared_ptr< OptimizationMethod >()) | |
Public Member Functions inherited from Interpolation | |
Interpolation ()=default | |
~Interpolation () override=default | |
bool | empty () const |
Real | operator() (Real x, bool allowExtrapolation=false) const |
Real | primitive (Real x, bool allowExtrapolation=false) const |
Real | derivative (Real x, bool allowExtrapolation=false) const |
Real | secondDerivative (Real x, bool allowExtrapolation=false) const |
Real | xMin () const |
Real | xMax () const |
bool | isInRange (Real x) const |
void | update () |
Public Member Functions inherited from Extrapolator | |
Extrapolator ()=default | |
virtual | ~Extrapolator ()=default |
void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls More... | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls More... | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled More... | |
Inspectors | |
Real | a () const |
Real | b () const |
Real | c () const |
Real | d () const |
std::vector< Real > | k () const |
Real | rmsError () const |
Real | maxError () const |
EndCriteria::Type | endCriteria () |
template<class I1 > | |
Real | k (Time t, const I1 &xBegin, const I1 &xEnd) const |
const detail::AbcdCoeffHolder & | coeffs () const |
Additional Inherited Members | |
Protected Member Functions inherited from Interpolation | |
void | checkRange (Real x, bool extrapolate) const |
Protected Attributes inherited from Interpolation | |
ext::shared_ptr< Impl > | impl_ |
Abcd interpolation between discrete points.
Definition at line 157 of file abcdinterpolation.hpp.
AbcdInterpolation | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin, | ||
Real | a = -0.06 , |
||
Real | b = 0.17 , |
||
Real | c = 0.54 , |
||
Real | d = 0.17 , |
||
bool | aIsFixed = false , |
||
bool | bIsFixed = false , |
||
bool | cIsFixed = false , |
||
bool | dIsFixed = false , |
||
bool | vegaWeighted = false , |
||
const ext::shared_ptr< EndCriteria > & | endCriteria = ext::shared_ptr<EndCriteria>() , |
||
const ext::shared_ptr< OptimizationMethod > & | optMethod = ext::shared_ptr<OptimizationMethod>() |
||
) |
Constructor
Definition at line 161 of file abcdinterpolation.hpp.
Real a | ( | ) | const |
Definition at line 190 of file abcdinterpolation.hpp.
Real b | ( | ) | const |
Definition at line 191 of file abcdinterpolation.hpp.
Real c | ( | ) | const |
Definition at line 192 of file abcdinterpolation.hpp.
Real d | ( | ) | const |
Definition at line 193 of file abcdinterpolation.hpp.
std::vector< Real > k | ( | ) | const |
Real rmsError | ( | ) | const |
Real maxError | ( | ) | const |
EndCriteria::Type endCriteria | ( | ) |
Definition at line 197 of file abcdinterpolation.hpp.
|
private |