Kernel interpolation between discrete points. More...
#include <ql/math/interpolations/kernelinterpolation.hpp>
Inheritance diagram for KernelInterpolation:
Collaboration diagram for KernelInterpolation:
Public Member Functions | |
| template<class I1 , class I2 , class Kernel > | |
| KernelInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Kernel &kernel, const double epsilon=1.0E-7) | |
| 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... | |
Additional Inherited Members | |
| Public Attributes inherited from Interpolation | |
| QL_DEPRECATED typedef Real | argument_type |
| QL_DEPRECATED typedef Real | result_type |
| Protected Member Functions inherited from Interpolation | |
| void | checkRange (Real x, bool extrapolate) const |
| Protected Attributes inherited from Interpolation | |
| ext::shared_ptr< Impl > | impl_ |
Detailed Description
Kernel interpolation between discrete points.
Implementation of the 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.
- Warning:
- See the Interpolation class for information about the required lifetime of the underlying data.
Definition at line 146 of file kernelinterpolation.hpp.
Constructor & Destructor Documentation
◆ KernelInterpolation()
| KernelInterpolation | ( | const I1 & | xBegin, |
| const I1 & | xEnd, | ||
| const I2 & | yBegin, | ||
| const Kernel & | kernel, | ||
| const double | epsilon = 1.0E-7 |
||
| ) |
- Precondition
- the \( x \) values must be sorted.
- kernel needs a Real operator()(Real x) implementation
The calculation will solve \( y = Ma \) for \(a\). Due to singularity or rounding errors the recalculation \( Ma \) may not give \( y\). Here, a failure will be thrown if
\[ \left\| Ma-y \right\|_\infty \geq \epsilon \]
Definition at line 159 of file kernelinterpolation.hpp.