QuantLib_KernelInterpolation2D man page



#include <ql/math/interpolations/kernelinterpolation2d.hpp>

Inherits Interpolation2D.

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)

Additional Inherited Members

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)


the $ x $ values must be sorted.

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


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Referenced By

The man page KernelInterpolation2D(3) is an alias of QuantLib_KernelInterpolation2D(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib