ConvexMonotoneInterpolation< I1, I2 > Class Template Reference

Convex monotone yield-curve interpolation method. More...

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

Inheritance diagram for ConvexMonotoneInterpolation< I1, I2 >:

Public Member Functions
	ConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map())
	ConvexMonotoneInterpolation (Interpolation &interp)
std::map< Real, ext::shared_ptr< detail::SectionHelper > >	getExistingHelpers ()
Public Member Functions inherited from Interpolation
bool	empty () const
Real	operator() (Real x, bool allowExtrapolation=false) const
Real	primitive (Real x, bool allowExtrapolation=false) const
Real	derivative (Real x, bool allowExtrapolation=false) const
Real	secondDerivative (Real x, bool allowExtrapolation=false) const
Real	xMin () const
Real	xMax () const
bool	isInRange (Real x) 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
Public Types inherited from Interpolation
typedef Real	argument_type
typedef Real	result_type
Protected Member Functions inherited from Interpolation
void	checkRange (Real x, bool extrapolate) const
Protected Attributes inherited from Interpolation
ext::shared_ptr< Impl >	impl_

Detailed Description

template<class I1, class I2>
class QuantLib::ConvexMonotoneInterpolation< I1, I2 >

Convex monotone yield-curve interpolation method.

Enhances implementation of the convex monotone method described in "Interpolation Methods for Curve Construction" by Hagan & West AMF Vol 13, No2 2006.

A setting of monotonicity = 1 and quadraticity = 0 will reproduce the basic Hagan/West method. However, this can produce excessive gradients which can mean P&L swings for some curves. Setting monotonicity < 1 and/or quadraticity > 0 produces smoother curves. Extra enhancement to avoid negative values (if required) is in place.

Warning:

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