QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
AbcdInterpolationImpl< I1, I2 > Class Template Referencefinal

#include <abcdinterpolation.hpp>

+ Inheritance diagram for AbcdInterpolationImpl< I1, I2 >:
+ Collaboration diagram for AbcdInterpolationImpl< I1, I2 >:

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< RealxValues () const override
 
std::vector< RealyValues () 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< RealxValues () const =0
 
virtual std::vector< RealyValues () 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< EndCriteriaendCriteria_
 
const ext::shared_ptr< OptimizationMethodoptMethod_
 
bool vegaWeighted_
 
ext::shared_ptr< AbcdCalibrationabcdCalibrator_
 

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< Realk_
 
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_
 

Detailed Description

template<class I1, class I2>
class QuantLib::detail::AbcdInterpolationImpl< I1, I2 >

Definition at line 79 of file abcdinterpolation.hpp.

Constructor & Destructor Documentation

◆ AbcdInterpolationImpl()

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.

Member Function Documentation

◆ update()

void update ( )
overridevirtual

Implements Interpolation::Impl.

Definition at line 101 of file abcdinterpolation.hpp.

◆ value()

Real value ( Real  x) const
overridevirtual

Implements Interpolation::Impl.

Definition at line 127 of file abcdinterpolation.hpp.

◆ primitive()

Real primitive ( Real  ) const
overridevirtual

Implements Interpolation::Impl.

Definition at line 132 of file abcdinterpolation.hpp.

◆ derivative()

Real derivative ( Real  ) const
overridevirtual

Implements Interpolation::Impl.

Definition at line 133 of file abcdinterpolation.hpp.

◆ secondDerivative()

Real secondDerivative ( Real  ) const
overridevirtual

Implements Interpolation::Impl.

Definition at line 134 of file abcdinterpolation.hpp.

◆ k()

Real k ( Time  t) const

Definition at line 137 of file abcdinterpolation.hpp.

Member Data Documentation

◆ endCriteria_

const ext::shared_ptr<EndCriteria> endCriteria_
private

Definition at line 143 of file abcdinterpolation.hpp.

◆ optMethod_

const ext::shared_ptr<OptimizationMethod> optMethod_
private

Definition at line 144 of file abcdinterpolation.hpp.

◆ vegaWeighted_

bool vegaWeighted_
private

Definition at line 145 of file abcdinterpolation.hpp.

◆ abcdCalibrator_

ext::shared_ptr<AbcdCalibration> abcdCalibrator_
private

Definition at line 146 of file abcdinterpolation.hpp.