KernelInterpolation2D Class Reference

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

Inheritance diagram for KernelInterpolation2D:

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)
Public Member Functions inherited from Interpolation2D
Real	operator() (Real x, Real y, bool allowExtrapolation=false) const
Real	xMin () const
Real	xMax () const
std::vector< Real >	xValues () const
Size	locateX (Real x) const
Real	yMin () const
Real	yMax () const
std::vector< Real >	yValues () const
Size	locateY (Real y) const
const Matrix &	zData () const
bool	isInRange (Real x, Real y) 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
Protected Member Functions inherited from Interpolation2D
void	checkRange (Real x, Real y, bool extrapolate) const
Protected Attributes inherited from Interpolation2D
ext::shared_ptr< Impl >	impl_

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.

Warning

See the Interpolation class for information about the required lifetime of the underlying data.

Constructor & Destructor Documentation

KernelInterpolation2D()

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 )

Precondition

the \( x \) values must be sorted.

kernel needs a Real operator()(Real x) implementation