Vanna Volga interpolation between discrete points More...
#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>
Inheritance diagram for VannaVolgaInterpolation:Public Member Functions | |
| template<class I1 , class I2 > | |
| VannaVolgaInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Time T) | |
Public Member Functions inherited from Interpolation | |
| bool | empty () const |
| Real | operator() (Real x, bool allowExtrapolation=false) const |
| Real | primitive (Real x, bool allowExtrapolation=false) const |
| Real | derivative (Real x, bool allowExtrapolation=false) const |
| Real | secondDerivative (Real x, bool allowExtrapolation=false) const |
| Real | xMin () const |
| Real | xMax () const |
| bool | isInRange (Real x) const |
| void | update () |
Public Member Functions inherited from Extrapolator | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
Additional Inherited Members | |
Public Types inherited from Interpolation | |
| typedef Real | argument_type |
| typedef Real | result_type |
Protected Member Functions inherited from Interpolation | |
| void | checkRange (Real x, bool extrapolate) const |
Protected Attributes inherited from Interpolation | |
| ext::shared_ptr< Impl > | impl_ |
Vanna Volga interpolation between discrete points
| VannaVolgaInterpolation | ( | const I1 & | xBegin, |
| const I1 & | xEnd, | ||
| const I2 & | yBegin, | ||
| Real | spot, | ||
| DiscountFactor | dDiscount, | ||
| DiscountFactor | fDiscount, | ||
| Time | T | ||
| ) |