VannaVolgaInterpolation Class Reference

Vanna Volga interpolation between discrete points More...

#include <vannavolgainterpolation.hpp>

Inheritance diagram for VannaVolgaInterpolation:

Collaboration diagram for VannaVolgaInterpolation:

Public Member Functions
template<class I1 , class I2 >
	VannaVolgaInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Time T)
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
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

Vanna Volga interpolation between discrete points

Definition at line 39 of file vannavolgainterpolation.hpp.

Constructor & Destructor Documentation

VannaVolgaInterpolation()

VannaVolgaInterpolation	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		Real	spot,
		DiscountFactor	dDiscount,
		DiscountFactor	fDiscount,
		Time	T
	)

Precondition

the \( x \) values must be sorted.

Definition at line 43 of file vannavolgainterpolation.hpp.