QuantLib::MultiCubicSpline - N-dimensional cubic spline interpolation between discrete points.


#include <ql/math/interpolations/multicubicspline.hpp>

Public Types

typedef c_splint::argument_type argument_type

typedef c_splint::result_type result_type

typedef c_splint::data_table data_table

typedef c_splint::return_type return_type

typedef c_splint::output_data output_data

typedef c_splint::dimensions dimensions

typedef c_splint::data data

Public Member Functions

MultiCubicSpline (const SplineGrid &grid, const data_table &y, const std::vector< bool > &ae=std::vector< bool >(20, false))

result_type operator() (const argument_type &x) const

void set_shared_increments () const

void set_shared_coefficients (const argument_type &x) const

Detailed Description

template<Size i> class QuantLib::MultiCubicSpline< i >

N-dimensional cubic spline interpolation between discrete points.


interpolated values are checked against the original function.

Possible enhancements

allow extrapolation as for the other interpolations
investigate if and how to implement Hyman filters and different boundary conditions


cannot interpolate at the grid points on the boundary surface of the N-dimensional region


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