[Quantlib-dev] Kernel Interpolation

[Dima <dim...@go...>]

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