Implementation of the 2D 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.
See the Interpolation class for information about the required lifetime of the underlying data.
tells whether extrapolation is enabled
disable extrapolation in subsequent calls
enable extrapolation in subsequent calls
Implementation of the 2D 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.
See the Interpolation class for information about the required lifetime of the underlying data.