QuantLib: KernelInterpolation2D Class Reference

Inheritance diagram for KernelInterpolation2D:

Collaboration 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
	Interpolation2D ()=default

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
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

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.

Definition at line 195 of file kernelinterpolation2d.hpp.

Precondition: the \( x \) values must be sorted.; kernel needs a Real operator()(Real x) implementation

Definition at line 201 of file kernelinterpolation2d.hpp.

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