QuantLib_KernelInterpolation2D

Langue: en

Version: 376683 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::KernelInterpolation2D -

SYNOPSIS


#include <ql/math/interpolations/kernelinterpolation2d.hpp>

Inherits QuantLib::Interpolation2D.

Public Member Functions


template<class I1 , class I2 , class M , class Kernel > KernelInterpolation2D (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData, const Kernel &kernel)

Detailed Description

Implementation of the 2D 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

KernelInterpolation2D (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin, const I2 & yEnd, const M & zData, const Kernel & kernel)Precondition:

the $ x $ values must be sorted.
kernel needs a Real operator()(Real x) implementation

Author

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