Vanna Volga interpolation between discrete points More...

#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>

Inheritance diagram for VannaVolgaInterpolation:

Public Member Functions
template<class I1 , class I2 >
	VannaVolgaInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Time T)

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

Vanna Volga interpolation between discrete points

Constructor & Destructor Documentation