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 } |
| 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 |