QuantLib_ConvexMonotoneInterpolation man page

ConvexMonotoneInterpolation< I1, I2 > — Convex monotone yield-curve interpolation method.

Synopsis

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

Inherits Interpolation.

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, boost::shared_ptr< detail::SectionHelper > > getExistingHelpers ()

Additional Inherited Members

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ConvexMonotoneInterpolation(3) and getExistingHelpers(3) are aliases of QuantLib_ConvexMonotoneInterpolation(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib