Posted by
Dimathematician on
URL: http://quantlib.414.s1.nabble.com/Kernel-Interpolation-tp12650.html
Hi all.
I'm almost done with coding an additional 1D interpolation technique: the kernel approach, which can
for example be found in the book "Foreign Exchange Risk" by Hakkala, Wystup. I plan to
code it for 2D later.
I have some questions regarding the existing interpolation functions:
- As usual: Any reasons not to include it? Is someone else working on the same project?
- The existing classes all have primitive, derivative and second derivative functions, which
I don't all have for kernels. What shall I do? Return a zero/throw error?
- For me its not really clear, what the function update is doing. Can someone elaborate?
Best regards, Dima
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