KernelInterpolation2D Class Reference
#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) |
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.
Constructor & Destructor Documentation
KernelInterpolation2D | ( | const I1 & | xBegin, | |
const I1 & | xEnd, | |||
const I2 & | yBegin, | |||
const I2 & | yEnd, | |||
const M & | zData, | |||
const Kernel & | kernel | |||
) |
- Precondition:
- the
values must be sorted.
kernel needs a Real operator()(Real x) implementation