RectBivariateCubicSpline Class Reference

Implementation of 2d spline interpolation on a rectangular grid. More...

#include <RectBivariateSpline.hpp>

Public Member Functions
	RectBivariateCubicSpline ()
std::array< std::vector< std::vector< double > >, 3 >	weighted_finite_derivative (const std::vector< double > &x, const std::vector< double > &y, const std::vector< std::vector< double >> &f)
void	fit (const std::vector< double > &x, const std::vector< double > &y, const std::vector< std::vector< double >> &f)
double	eval (double x_, double y_) const
double	derivative_x (double x_, double y_) const
double	derivative_y (double x_, double y_) const
double	derivative_xx (double x_, double y_) const
double	derivative_yy (double x_, double y_) const
double	derivative_xy (double x_, double y_) const
double	partial_derivative (double x_, double y_, int dx, int dy) const
std::vector< std::vector< std::array< double, 16 > > >	get_coefs () const

Detailed Description

Implementation of 2d spline interpolation on a rectangular grid.

See also

tests/u_RectBivariateSpline.cpp

Definition at line 11 of file RectBivariateSpline.hpp.

Constructor & Destructor Documentation

RectBivariateCubicSpline()

RectBivariateCubicSpline::RectBivariateCubicSpline ( )

inline

Definition at line 18 of file RectBivariateSpline.hpp.

Member Function Documentation

derivative_x()

double RectBivariateCubicSpline::derivative_x	(	double	x_,
		double	y_
	)		const

Definition at line 221 of file RectBivariateSpline.cpp.

References binsearch().

Referenced by partial_derivative().

derivative_xx()

double RectBivariateCubicSpline::derivative_xx	(	double	x_,
		double	y_
	)		const

Definition at line 293 of file RectBivariateSpline.cpp.

References binsearch().

Referenced by partial_derivative().

derivative_xy()

double RectBivariateCubicSpline::derivative_xy	(	double	x_,
		double	y_
	)		const

Definition at line 365 of file RectBivariateSpline.cpp.

References binsearch().

Referenced by partial_derivative().

derivative_y()

double RectBivariateCubicSpline::derivative_y	(	double	x_,
		double	y_
	)		const

Definition at line 257 of file RectBivariateSpline.cpp.

References binsearch().

Referenced by partial_derivative().

derivative_yy()

double RectBivariateCubicSpline::derivative_yy	(	double	x_,
		double	y_
	)		const

Definition at line 329 of file RectBivariateSpline.cpp.

References binsearch().

Referenced by partial_derivative().

eval()

double RectBivariateCubicSpline::eval	(	double	x_,
		double	y_
	)		const

Definition at line 184 of file RectBivariateSpline.cpp.

References binsearch().

Referenced by LocalVolatility::calibrate_dupire().

fit()

void RectBivariateCubicSpline::fit	(	const std::vector< double > &	x,
		const std::vector< double > &	y,
		const std::vector< std::vector< double >> &	f
	)

Definition at line 91 of file RectBivariateSpline.cpp.

References weighted_finite_derivative().

Referenced by LocalVolatility::calibrate_dupire().

get_coefs()

std::vector< std::vector< std::array< double, 16 > > > RectBivariateCubicSpline::get_coefs

(

)

const

Definition at line 6 of file RectBivariateSpline.cpp.

partial_derivative()

double RectBivariateCubicSpline::partial_derivative	(	double	x_,
		double	y_,
		int	dx,
		int	dy
	)		const

Definition at line 401 of file RectBivariateSpline.cpp.

References derivative_x(), derivative_xx(), derivative_xy(), derivative_y(), and derivative_yy().

Referenced by LocalVolatility::calibrate_dupire().

weighted_finite_derivative()

std::array< std::vector< std::vector< double > >, 3 > RectBivariateCubicSpline::weighted_finite_derivative	(	const std::vector< double > &	x,
		const std::vector< double > &	y,
		const std::vector< std::vector< double >> &	f
	)

Definition at line 81 of file RectBivariateSpline.cpp.

References diff().

Referenced by fit().

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The documentation for this class was generated from the following files:

• /home/runner/work/FTQuant/FTQuant/include/RectBivariateSpline.hpp
• /home/runner/work/FTQuant/FTQuant/ftqlib/RectBivariateSpline.cpp