QuantLib::ConvexMonotoneInterpolation - Convex monotone yield-curve interpolation method.


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

Inherits QuantLib::Interpolation.

Public Member Functions

ConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map())

ConvexMonotoneInterpolation (Interpolation &interp)

std::map< Real, boost::shared_ptr< detail::SectionHelper > > getExistingHelpers ()

Detailed Description

template<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation< I1, I2 >

Convex monotone yield-curve interpolation method.

Enhances implementation of the convex monotone method described in 'Interpolation Methods for Curve Construction' by Hagan & West AMF Vol 13, No2 2006.

A setting of monotonicity = 1 and quadraticity = 0 will reproduce the basic Hagan/West method. However, this can produce excessive gradients which can mean P&L swings for some curves. Setting monotonicity < 1 and/or quadraticity > 0 produces smoother curves. Extra enhancement to avoid negative values (if required) is in place.


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