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"ql/experimental/volatility/zabrinterpolation"
ZabrInterpolation
templateImpl
Class templateImpl
basic template implementation
Hierarchy
templateImpl
Index
Properties
_x
_x
Begin
_x
End
_y
_y
Begin
Methods
derivative
is
InRange
locate
primitive
second
Derivative
ti
Init
update
value1
value2
x
Max
x
Min
x
Values
y
Values
Properties
_x
_x
:
Real
[]
_x
Begin
_x
Begin
:
Size
_x
End
_x
End
:
Size
_y
_y
:
Real
[]
_y
Begin
_y
Begin
:
Size
Methods
derivative
derivative
(
x
:
Real
)
:
Real
Parameters
x:
Real
Returns
Real
is
InRange
is
InRange
(
x
:
Real
)
:
boolean
Parameters
x:
Real
Returns
boolean
locate
locate
(
x
:
Real
)
:
Size
Parameters
x:
Real
Returns
Size
primitive
primitive
(
x
:
Real
)
:
Real
Parameters
x:
Real
Returns
Real
second
Derivative
second
Derivative
(
x
:
Real
)
:
Real
Parameters
x:
Real
Returns
Real
ti
Init
ti
Init
(
x
:
Real
[]
, xBegin
:
Size
, xEnd
:
Size
, y
:
Real
[]
, yBegin
:
Size
, requiredPoints
?:
Integer
)
:
templateImpl
Parameters
x:
Real
[]
xBegin:
Size
xEnd:
Size
y:
Real
[]
yBegin:
Size
Default value
requiredPoints:
Integer
= 2
Returns
templateImpl
update
update
(
)
:
void
Returns
void
value1
value1
(
x
:
Real
)
:
Real
Parameters
x:
Real
Returns
Real
value2
value2
(
y
:
Real
[]
, x
:
Real
)
:
Real
Parameters
y:
Real
[]
x:
Real
Returns
Real
x
Max
x
Max
(
)
:
Real
Returns
Real
x
Min
x
Min
(
)
:
Real
Returns
Real
x
Values
x
Values
(
)
:
Real
[]
Returns
Real
[]
y
Values
y
Values
(
)
:
Real
[]
Returns
Real
[]
Globals
"ql/experimental/volatility/zabrinterpolation"
Zabr
Interpolation
Impl
template
Impl
_x
_x
Begin
_x
End
_y
_y
Begin
derivative
is
InRange
locate
primitive
second
Derivative
ti
Init
update
value1
value2
x
Max
x
Min
x
Values
y
Values
_extrapolate
_impl
allows
Extrapolation
check
Range
derivative
disable
Extrapolation
empty
enable
Extrapolation
f
get
Existing
Helpers
is
InRange
primitive
second
Derivative
update
x
Max
x
Min
basic template implementation