QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <laplaceinterpolation.hpp>
Public Member Functions | |
LaplaceInterpolation (std::function< Real(const std::vector< Size > &)> y, std::vector< std::vector< Real > > x, Real relTol=1E-6, Size maxIterMultiplier=10) | |
Real | operator() (const std::vector< Size > &coordinates) const |
Private Member Functions | |
std::vector< Size > | projectedCoordinates (const std::vector< Size > &coordinates) const |
std::vector< Size > | fullCoordinates (const std::vector< Size > &projectedCoordinates) const |
Private Attributes | |
std::function< Real(const std::vector< Size > &)> | y_ |
std::vector< std::vector< Real > > | x_ |
Real | relTol_ |
Size | maxIterMultiplier_ |
std::vector< bool > | coordinateIncluded_ |
Size | numberOfCoordinatesIncluded_ |
ext::shared_ptr< FdmLinearOpLayout > | layout_ |
Array | interpolatedValues_ |
Reconstruction of missing values using Laplace interpolation. We support an arbitrary number of dimensions n >= 1 and non-equidistant grids. For n = 1 the method is identical to linear interpolation with flat extrapolation. Reference: Numerical Recipes, 3rd edition, ch. 3.8.
Definition at line 42 of file laplaceinterpolation.hpp.
LaplaceInterpolation | ( | std::function< Real(const std::vector< Size > &)> | y, |
std::vector< std::vector< Real > > | x, | ||
Real | relTol = 1E-6 , |
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Size | maxIterMultiplier = 10 |
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Missing values y should be encoded as Null<Real>().
Definition at line 38 of file laplaceinterpolation.cpp.
Definition at line 181 of file laplaceinterpolation.cpp.
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Definition at line 191 of file laplaceinterpolation.cpp.
Definition at line 55 of file laplaceinterpolation.hpp.
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Definition at line 56 of file laplaceinterpolation.hpp.
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Definition at line 57 of file laplaceinterpolation.hpp.
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Definition at line 58 of file laplaceinterpolation.hpp.
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Definition at line 60 of file laplaceinterpolation.hpp.
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Definition at line 61 of file laplaceinterpolation.hpp.
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Definition at line 63 of file laplaceinterpolation.hpp.
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Definition at line 64 of file laplaceinterpolation.hpp.