FirstDerivativeCostFunction.hpp

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#ifndef JULIAN_FIRSTDERIVATIVECOSTFUNCTION_HPP
#define JULIAN_FIRSTDERIVATIVECOSTFUNCTION_HPP

#include <marketData/interestRateCurves/estimators/costFunctions/CostFunctionDecorator.hpp>
#include <marketData/interestRateCurves/interpolatedCurve.hpp>
#include <armadillo>

namespace julian {
namespace ir {
  class FirstDerivativeCostFunction: public CostFunctionDecorator  {
  public:
    explicit FirstDerivativeCostFunction(SmartPointer<SmootherCostFunction> c, double weight = 1.0):
      CostFunctionDecorator(c), weight_(weight) {};
      
    virtual arma::mat giveQmatrix(const InterpolatedCurve&) const;
    virtual arma::mat giveCvector(const InterpolatedCurve&) const;
    virtual double calculateCost(const InterpolatedCurve&) const;
      
    virtual FirstDerivativeCostFunction* clone() const;
    virtual ~FirstDerivativeCostFunction(){};
  private:
    double weight_;  
  };
}  // namespace ir
}  // namespace julian
#endif