- QuantLib
- KernelInterpolation2D
#include <ql/math/interpolations/kernelinterpolation2d.hpp>

Public Member Functions | |
| template<class I1 , class I2 , class M , class Kernel > | |
| KernelInterpolation2D (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData, const Kernel &kernel) | |
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.
| KernelInterpolation2D | ( | const I1 & | xBegin, |
| const I1 & | xEnd, | ||
| const I2 & | yBegin, | ||
| const I2 & | yEnd, | ||
| const M & | zData, | ||
| const Kernel & | kernel | ||
| ) |
values must be sorted.