QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <abcdinterpolation.hpp>
Public Member Functions | |
AbcdInterpolationImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real a, Real b, Real c, Real d, bool aIsFixed, bool bIsFixed, bool cIsFixed, bool dIsFixed, bool vegaWeighted, ext::shared_ptr< EndCriteria > endCriteria, ext::shared_ptr< OptimizationMethod > optMethod) | |
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 | k (Time t) 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 AbcdCoeffHolder | |
AbcdCoeffHolder (Real a, Real b, Real c, Real d, bool aIsFixed, bool bIsFixed, bool cIsFixed, bool dIsFixed) | |
virtual | ~AbcdCoeffHolder ()=default |
Private Attributes | |
const ext::shared_ptr< EndCriteria > | endCriteria_ |
const ext::shared_ptr< OptimizationMethod > | optMethod_ |
bool | vegaWeighted_ |
ext::shared_ptr< AbcdCalibration > | abcdCalibrator_ |
Additional Inherited Members | |
Public Attributes inherited from AbcdCoeffHolder | |
Real | a_ |
Real | b_ |
Real | c_ |
Real | d_ |
bool | aIsFixed_ = false |
bool | bIsFixed_ = false |
bool | cIsFixed_ = false |
bool | dIsFixed_ = false |
std::vector< Real > | k_ |
Real | error_ |
Real | maxError_ |
EndCriteria::Type | abcdEndCriteria_ = EndCriteria::None |
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_ |
Definition at line 79 of file abcdinterpolation.hpp.
AbcdInterpolationImpl | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin, | ||
Real | a, | ||
Real | b, | ||
Real | c, | ||
Real | d, | ||
bool | aIsFixed, | ||
bool | bIsFixed, | ||
bool | cIsFixed, | ||
bool | dIsFixed, | ||
bool | vegaWeighted, | ||
ext::shared_ptr< EndCriteria > | endCriteria, | ||
ext::shared_ptr< OptimizationMethod > | optMethod | ||
) |
Definition at line 82 of file abcdinterpolation.hpp.
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overridevirtual |
Implements Interpolation::Impl.
Definition at line 101 of file abcdinterpolation.hpp.
Implements Interpolation::Impl.
Definition at line 127 of file abcdinterpolation.hpp.
Implements Interpolation::Impl.
Definition at line 132 of file abcdinterpolation.hpp.
Implements Interpolation::Impl.
Definition at line 133 of file abcdinterpolation.hpp.
Implements Interpolation::Impl.
Definition at line 134 of file abcdinterpolation.hpp.
Definition at line 137 of file abcdinterpolation.hpp.
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private |
Definition at line 143 of file abcdinterpolation.hpp.
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private |
Definition at line 144 of file abcdinterpolation.hpp.
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private |
Definition at line 145 of file abcdinterpolation.hpp.
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private |
Definition at line 146 of file abcdinterpolation.hpp.