## Class CurveInterpolators

• java.lang.Object
• com.opengamma.strata.market.curve.interpolator.CurveInterpolators

• public final class CurveInterpolators
extends Object
The standard set of curve interpolators.
• ### Field Detail

• #### LINEAR

public static final CurveInterpolator LINEAR
Linear interpolator.

The interpolated value of the function y at x between two data points (x1, y1) and (x2, y2) is given by:
y = y1 + (x - x1) * (y2 - y1) / (x2 - x1).

• #### LOG_LINEAR

public static final CurveInterpolator LOG_LINEAR
Log linear interpolator.

The interpolated value of the function y at x between two data points (x1, y1) and (x2, y2) is given by:
y = y1 (y2 / y1) ^ ((x - x1) / (x2 - x1))
It is the equivalent of performing a linear interpolation on a data set after taking the logarithm of the y-values.

• #### SQUARE_LINEAR

public static final CurveInterpolator SQUARE_LINEAR
Square linear interpolator.

The interpolator is used for interpolation on variance for options. Interpolation is linear on y^2. All values of y must be positive.

• #### TIME_SQUARE

public static final CurveInterpolator TIME_SQUARE
Time square interpolator.

The interpolation is linear on x y^2. The interpolator is used for interpolation on integrated variance for options. All values of y must be positive.

• #### LOG_NATURAL_SPLINE_MONOTONE_CUBIC

public static final CurveInterpolator LOG_NATURAL_SPLINE_MONOTONE_CUBIC
Log natural spline interpolation with monotonicity filter.

Finds an interpolant F(x) = exp( f(x) ) where f(x) is a Natural cubic spline with Monotonicity cubic filter.

• #### LOG_NATURAL_SPLINE_DISCOUNT_FACTOR

public static final CurveInterpolator LOG_NATURAL_SPLINE_DISCOUNT_FACTOR
Log natural spline interpolator for discount factors.

Finds an interpolant F(x) = exp( f(x) ) where f(x) is a natural cubic spline going through the point (0,1).

• #### NATURAL_CUBIC_SPLINE

public static final CurveInterpolator NATURAL_CUBIC_SPLINE
Natural cubic spline interpolator.
• #### NATURAL_SPLINE

public static final CurveInterpolator NATURAL_SPLINE
Natural spline interpolator.
• #### NATURAL_SPLINE_NONNEGATIVITY_CUBIC

public static final CurveInterpolator NATURAL_SPLINE_NONNEGATIVITY_CUBIC
Natural spline interpolator with non-negativity filter.
• #### PRODUCT_NATURAL_SPLINE

public static final CurveInterpolator PRODUCT_NATURAL_SPLINE
Product natural spline interpolator.

Given a data set (x[i], y[i]), interpolate (x[i], x[i] * y[i]) by natural cubic spline.

As a curve for the product x * y is not well-defined at x = 0, we impose the condition that all of the x data to be the same sign, such that the origin is not within data range. The x key value must not be close to zero.

• #### PRODUCT_NATURAL_SPLINE_MONOTONE_CUBIC

public static final CurveInterpolator PRODUCT_NATURAL_SPLINE_MONOTONE_CUBIC
Product natural spline interpolator with monotonicity filter.

Given a data set (x[i], y[i]), interpolate (x[i], x[i] * y[i]) by natural cubic spline with monotonicity filter.

• #### PRODUCT_LINEAR

public static final CurveInterpolator PRODUCT_LINEAR
Product linear interpolator.

Given a data set (x[i], y[i]), interpolate (x[i], x[i] * y[i]) by linear functions.

As a curve for the product x * y is not well-defined at x = 0, we impose the condition that all of the x data to be the same sign, such that the origin is not within data range. The x key value must not be close to zero.

• #### STEP_UPPER

public static final CurveInterpolator STEP_UPPER
Step upper interpolator.

The interpolated value at x s.t. x1 < x =< x2 is the value at x2.

• #### PCHIP

public static final CurveInterpolator PCHIP
Piecewise cubic Hermite interpolator with monotonicity.