Convex monotone yield-curve interpolation method. More...

#include <convexmonotoneinterpolation.hpp>

Inheritance diagram for ConvexMonotoneInterpolation< I1, I2 >:

Collaboration diagram for ConvexMonotoneInterpolation< I1, I2 >:

Public Member Functions
	ConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map())

	ConvexMonotoneInterpolation (Interpolation &interp)

std::map< Real, ext::shared_ptr< detail::SectionHelper > >	getExistingHelpers ()

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...

Private Types
typedef std::map< Real, ext::shared_ptr< detail::SectionHelper > >	helper_map

Additional Inherited Members
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

template<class I1, class I2>
class QuantLib::ConvexMonotoneInterpolation< I1, I2 >

Convex monotone yield-curve interpolation method.

Enhances implementation of the convex monotone method described in "Interpolation Methods for Curve Construction" by Hagan & West AMF Vol 13, No2 2006.

A setting of monotonicity = 1 and quadraticity = 0 will reproduce the basic Hagan/West method. However, this can produce excessive gradients which can mean P&L swings for some curves. Setting monotonicity < 1 and/or quadraticity > 0 produces smoother curves. Extra enhancement to avoid negative values (if required) is in place.

Warning:: See the Interpolation class for information about the required lifetime of the underlying data.

Definition at line 54 of file convexmonotoneinterpolation.hpp.

Member Typedef Documentation

◆ helper_map

typedef std::map<Real, ext::shared_ptr<detail::SectionHelper> > helper_map

private

Definition at line 56 of file convexmonotoneinterpolation.hpp.

Constructor & Destructor Documentation

◆ ConvexMonotoneInterpolation() [1/2]

ConvexMonotoneInterpolation	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		Real	quadraticity,
		Real	monotonicity,
		bool	forcePositive,
		bool	flatFinalPeriod = `false`,
		const helper_map &	preExistingHelpers = `helper_map()`
	)