#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
Public Types inherited from Interpolation2D
typedef Real	first_argument_type

typedef Real	second_argument_type

typedef Real	result_type

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

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