SmoothForwardRates.hpp

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#ifndef JULIAN_SMOOTHFORWARDRATES_HPP
#define JULIAN_SMOOTHFORWARDRATES_HPP

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

namespace julian {
namespace ir {
 
  class SmoothForwardRates: public SmootherCostFunction {
  public:
    SmoothForwardRates(){};
      
    virtual arma::mat giveQmatrix(const InterpolatedCurve&) const;
    virtual arma::mat giveCvector(const InterpolatedCurve&) const;
    virtual double calculateCost(const InterpolatedCurve&) const;
    virtual std::vector<double> giveSmoothedCurve(const InterpolatedCurve&) const;
    virtual void updateSmoothedCurve(InterpolatedCurve& c, const std::vector<double>& r) const;
      
    virtual SmoothForwardRates* clone() const;
    virtual ~SmoothForwardRates(){};
      
  private:
  };

}  // namespace ir
}  // namespace julian
#endif