julian::ir::CompoundedInterpolator Class Reference

Definition of compounded interpolator. More...

#include <irCurveCompoundedInterpolator.hpp>

Inheritance diagram for julian::ir::CompoundedInterpolator:

Public Member Functions
	CompoundedInterpolator ()
	Default constructor. More...
	CompoundedInterpolator (SmartPointer< Interpolation > interpolation, SmartPointer< InterpolationInput > inputs)
	Constructor. More...
virtual double	operator() (const Calendar &, const InterestRate &, const Date &, const std::vector< Date > &, const std::vector< double > &, const Date &) const
	interpolates curve for a given date More...
virtual CompoundedInterpolator *	clone () const
	virtual copy constructor More...
virtual std::string	info () const
	returns name of a class More...
Public Member Functions inherited from julian::ir::Interpolator
virtual	~Interpolator ()
	destructor More...

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)
	interface used by Boost serialization library More...

Private Attributes
SmartPointer< Interpolation >	interpolation_
	interpolation interface More...
SmartPointer< InterpolationInput >	inputs_
	interface of method transforming the DFs More...

Friends
class	boost::serialization::access

Detailed Description

Definition of compounded interpolator.

The ir::CompoundedInterpolator implements the Strategy design pattern. It allows a flexible construction of interpolating algorithms. We can chose inputs of interpolation and method of interpolation.

Examples:

algebraicBootstrapperExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

Constructor & Destructor Documentation

julian::ir::CompoundedInterpolator::CompoundedInterpolator ( )

inline

Default constructor.

julian::ir::CompoundedInterpolator::CompoundedInterpolator ( SmartPointer< Interpolation >  interpolation, SmartPointer< InterpolationInput >  inputs  )

inline

Constructor.

Member Function Documentation

CompoundedInterpolator * julian::ir::CompoundedInterpolator::clone ( ) const

virtual

virtual copy constructor

Implements julian::ir::Interpolator.

std::string julian::ir::CompoundedInterpolator::info ( ) const

virtual

returns name of a class

Implements julian::ir::Interpolator.

double julian::ir::CompoundedInterpolator::operator() ( const Calendar &  , const InterestRate &  rate, const Date &  today, const std::vector< Date > &  input_dates, const std::vector< double > &  input_DF, const Date &  date_int  ) const

virtual

interpolates curve for a given date

Note

Some interpolating algorithms required minimum number of points to interpolate (like AKIMA, Steffensen).If minimal number of points is not available the polynomial interpolation is applied.

Implements julian::ir::Interpolator.

template<class Archive >

void julian::ir::CompoundedInterpolator::serialize ( Archive &  ar, const unsigned  int  )

private

interface used by Boost serialization library

Member Data Documentation

SmartPointer<InterpolationInput> julian::ir::CompoundedInterpolator::inputs_

private

interface of method transforming the DFs

SmartPointer<Interpolation> julian::ir::CompoundedInterpolator::interpolation_

private

interpolation interface

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

• C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/interpolators/irCurveCompoundedInterpolator.hpp
• C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/interpolators/irCurveCompoundedInterpolator.cpp