QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <kernelinterpolation2d.hpp>
Public Member Functions | |
template<class I1 , class I2 , class M , class Kernel > | |
KernelInterpolation2D (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData, const Kernel &kernel) | |
Public Member Functions inherited from Interpolation2D | |
Interpolation2D ()=default | |
Real | operator() (Real x, Real y, bool allowExtrapolation=false) const |
Real | xMin () const |
Real | xMax () const |
std::vector< Real > | xValues () const |
Size | locateX (Real x) const |
Real | yMin () const |
Real | yMax () const |
std::vector< Real > | yValues () const |
Size | locateY (Real y) const |
const Matrix & | zData () const |
bool | isInRange (Real x, Real y) 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... | |
Additional Inherited Members | |
Protected Member Functions inherited from Interpolation2D | |
void | checkRange (Real x, Real y, bool extrapolate) const |
Protected Attributes inherited from Interpolation2D | |
ext::shared_ptr< Impl > | impl_ |
Implementation of the 2D kernel interpolation approach, which can be found in "Foreign Exchange Risk" by Hakala, Wystup page 256.
The kernel in the implementation is kept general, although a Gaussian is considered in the cited text.
Definition at line 195 of file kernelinterpolation2d.hpp.
KernelInterpolation2D | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin, | ||
const I2 & | yEnd, | ||
const M & | zData, | ||
const Kernel & | kernel | ||
) |
Definition at line 201 of file kernelinterpolation2d.hpp.