Classes | |
class | AbcdInterpolation |
Abcd interpolation between discrete points. More... | |
class | Abcd |
Abcd interpolation factory and traits More... | |
class | BackwardFlatInterpolation |
Backward-flat interpolation between discrete points. More... | |
class | BackwardFlat |
Backward-flat interpolation factory and traits. More... | |
class | ConvexMonotoneInterpolation< I1, I2 > |
Convex monotone yield-curve interpolation method. More... | |
class | ConvexMonotone |
Convex-monotone interpolation factory and traits. More... | |
class | CubicInterpolation |
Cubic interpolation between discrete points. More... | |
class | Cubic |
Cubic interpolation factory and traits More... | |
class | ForwardFlatInterpolation |
Forward-flat interpolation between discrete points. More... | |
class | ForwardFlat |
Forward-flat interpolation factory and traits. More... | |
class | KernelInterpolation |
Kernel interpolation between discrete points. More... | |
class | LinearInterpolation |
Linear interpolation between discrete points More... | |
class | Linear |
Linear-interpolation factory and traits More... | |
class | LogLinearInterpolation |
log-linear interpolation between discrete points More... | |
class | LogLinear |
log-linear interpolation factory and traits More... | |
class | LogCubicInterpolation |
log-cubic interpolation between discrete points More... | |
class | LogCubic |
log-cubic interpolation factory and traits More... | |
class | LogMixedLinearCubicInterpolation |
log-mixedlinearcubic interpolation between discrete points More... | |
class | LogMixedLinearCubic |
log-cubic interpolation factory and traits More... | |
class | MixedLinearCubicInterpolation |
mixed linear/cubic interpolation between discrete points More... | |
class | MixedLinearCubic |
mixed linear/cubic interpolation factory and traits More... | |
class | SABRInterpolation |
SABR smile interpolation between discrete volatility points. More... | |
class | SABR |
SABR interpolation factory and traits More... | |
Enumerations | |
enum | DerivativeApprox { Spline, SplineOM1, SplineOM2, FourthOrder, Parabolic, FritschButland, Akima, Kruger } |
enum | BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } |
enum DerivativeApprox |
Enumerator | |
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Spline |
Spline approximation (non-local, non-monotonic, linear[?]). Different boundary conditions can be used on the left and right boundaries: see BoundaryCondition. |
SplineOM1 |
Overshooting minimization 1st derivative. |
SplineOM2 |
Overshooting minimization 2nd derivative. |
FourthOrder |
Fourth-order approximation (local, non-monotonic, linear) |
Parabolic |
Parabolic approximation (local, non-monotonic, linear) |
FritschButland |
Fritsch-Butland approximation (local, monotonic, non-linear) |
Akima |
Akima approximation (local, non-monotonic, non-linear) |
Kruger |
Kruger approximation (local, monotonic, non-linear) |
enum BoundaryCondition |