QuantLib_KernelInterpolation man page

KernelInterpolation — Kernel interpolation between discrete points.  


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

Inherits Interpolation.

Public Member Functions

template<class I1 , class I2 , class Kernel > KernelInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Kernel &kernel, const double epsilon=1.0E-7)

Additional Inherited Members

Detailed Description

Kernel interpolation between discrete points.

Implementation of the 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

KernelInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin, const Kernel & kernel, const double epsilon = 1.0E-7)


the $ x $ values must be sorted.

kernel needs a Real operator()(Real x) implementation

The calculation will solve $ y = Ma $ for $a$. Due to singularity or rounding errors the recalculation $ Ma $ may not give $ y$. Here, a failure will be thrown if [ left Ma-y right_infty geq \psilon ]


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Referenced By

The man page KernelInterpolation(3) is an alias of QuantLib_KernelInterpolation(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib