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QuantLib_MultiCubicSpline

NAME

QuantLib::MultiCubicSpline - N-dimensional cubic spline interpolation between discrete points.

SYNOPSIS

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

Public Types

typedef c_splint::argument_type argument_type

typedef c_splint::result_type result_type

typedef c_splint::data_table data_table

typedef c_splint::return_type return_type

typedef c_splint::output_data output_data

typedef c_splint::dimensions dimensions

typedef c_splint::data data

Public Member Functions

MultiCubicSpline (const SplineGrid &grid, const data_table &y, const std::vector< bool > &ae=std::vector< bool >(20, false))

result_type operator() (const argument_type &x) const

void set_shared_increments () const

void set_shared_coefficients (const argument_type &x) const

Detailed Description

template<Size i> class QuantLib::MultiCubicSpline< i >

N-dimensional cubic spline interpolation between discrete points.

Tests

interpolated values are checked against the original function.

Possible enhancements

•

allow extrapolation as for the other interpolations

•

investigate if and how to implement Hyman filters and different boundary conditions

Bug

cannot interpolate at the grid points on the boundary surface of the N-dimensional region

Author

Generated automatically by Doxygen for QuantLib from the source code.