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QuantLib_KernelInterpolation
Langue: en
Version: 375636 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::KernelInterpolation -Kernel interpolation between discrete points.
SYNOPSIS
#include <ql/math/interpolations/kernelinterpolation.hpp>
Inherits QuantLib::Interpolation.
Public Member Functions
template<class I1 , class I2 , class Kernel > KernelInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Kernel &kernel)
Detailed Description
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.
Constructor & Destructor Documentation
KernelInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin, const Kernel & kernel)Precondition:
- the $ x $ values must be sorted.
kernel needs a Real operator()(Real x) implementation
Author
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