QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Classes | Enumerations
1-D Interpolations and corresponding traits

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
}
 

Detailed Description

Enumeration Type Documentation

enum DerivativeApprox
Enumerator
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
Enumerator
NotAKnot 

Make second(-last) point an inactive knot.

FirstDerivative 

Match value of end-slope.

SecondDerivative 

Match value of second derivative at end.

Periodic 

Match first and second derivative at either end.

Lagrange 

Match end-slope to the slope of the cubic that matches the first four data at the respective end