LaplaceInterpolation Class Reference

#include <ql/experimental/math/laplaceinterpolation.hpp>

Public Member Functions
	LaplaceInterpolation (std::function< Real(const std::vector< Size > &)> y, std::vector< std::vector< Real > > x, Real relTol=1E-6, Size maxIterMultiplier=10)
Real	operator() (const std::vector< Size > &coordinates) const

Detailed Description

Reconstruction of missing values using Laplace interpolation. We support an arbitrary number of dimensions n >= 1 and non-equidistant grids. For n = 1 the method is identical to linear interpolation with flat extrapolation. Reference: Numerical Recipes, 3rd edition, ch. 3.8.

Constructor & Destructor Documentation

LaplaceInterpolation()

LaplaceInterpolation	(	std::function< Real(const std::vector< Size > &)>	y,
		std::vector< std::vector< Real > >	x,
		Real	relTol = 1E-6,
		Size	maxIterMultiplier = 10 )

Missing values y should be encoded as Null<Real>().