QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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basecorrelationstructure.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Jose Aparicio
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22
23namespace QuantLib {
24
25 /* Default Factories for some specific two dimensional interpolations
26 through template specialization. The signature of the 2D interpolator
27 constructor is not guaranteed.*/
28 template<>
29 void
31 interpolation_ =
32 BilinearInterpolation(trancheTimes_.begin(),
33 trancheTimes_.end(), lossLevel_.begin(), lossLevel_.end(),
34 correlations_);
35 }
36
37 /* Notice See that some interpolators might take you out of the [-1,1]
38 correlation domain.
39 */
40 template<>
41 void
43 interpolation_ =
44 BicubicSpline(trancheTimes_.begin(),
45 trancheTimes_.end(), lossLevel_.begin(), lossLevel_.end(),
46 correlations_);
47 }
48
49}
bicubic-spline interpolation between discrete points
bilinear interpolation between discrete points
Definition: any.hpp:35