Kernel interpolation between discrete points. More...
#include <ql/math/interpolations/kernelinterpolation.hpp>
Inheritance diagram for KernelInterpolation:Public Member Functions | |
| template<class I1 , class I2 , class Kernel > | |
| KernelInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Kernel &kernel) | |
Public Member Functions inherited from Interpolation | |
| 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 | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
Additional Inherited Members | |
Public Types inherited from Interpolation | |
| typedef Real | argument_type |
| typedef Real | result_type |
Protected Member Functions inherited from Interpolation | |
| void | checkRange (Real x, bool extrapolate) const |
Protected Attributes inherited from Interpolation | |
| boost::shared_ptr< Impl > | impl_ |
Kernel interpolation between discrete points.
Implementation of the kernel interpolation approach, which can be found in "Foreign Exchange Risk" by Hakala, Wystup page 256.
The kernel in the implementation is kept general, although a Gaussian is considered in the cited text.
| KernelInterpolation | ( | const I1 & | xBegin, |
| const I1 & | xEnd, | ||
| const I2 & | yBegin, | ||
| const Kernel & | kernel | ||
| ) |