- QuantLib
- KernelInterpolation
Kernel interpolation between discrete points. More...
#include <ql/math/interpolations/kernelinterpolation.hpp>
Public Member Functions | |
template<class I1 , class I2 , class Kernel > | |
KernelInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Kernel &kernel) |
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.
KernelInterpolation | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin, | ||
const Kernel & | kernel | ||
) |