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

public final class CurveInterpolators
extends Object

The standard set of curve interpolators.

Field Summary

Fields
Modifier and Type	Field	Description
`static CurveInterpolator`	`DOUBLE_QUADRATIC`	Double quadratic interpolator.
`static CurveInterpolator`	`LINEAR`	Linear interpolator.
`static CurveInterpolator`	`LOG_LINEAR`	Log linear interpolator.
`static CurveInterpolator`	`LOG_NATURAL_SPLINE_DISCOUNT_FACTOR`	Log natural spline interpolator for discount factors.
`static CurveInterpolator`	`LOG_NATURAL_SPLINE_MONOTONE_CUBIC`	Log natural spline interpolation with monotonicity filter.
`static CurveInterpolator`	`NATURAL_CUBIC_SPLINE`	Natural cubic spline interpolator.
`static CurveInterpolator`	`NATURAL_SPLINE`	Natural spline interpolator.
`static CurveInterpolator`	`NATURAL_SPLINE_NONNEGATIVITY_CUBIC`	Natural spline interpolator with non-negativity filter.
`static CurveInterpolator`	`PCHIP`	Piecewise cubic Hermite interpolator with monotonicity.
`static CurveInterpolator`	`PRODUCT_LINEAR`	Product linear interpolator.
`static CurveInterpolator`	`PRODUCT_NATURAL_SPLINE`	Product natural spline interpolator.
`static CurveInterpolator`	`PRODUCT_NATURAL_SPLINE_MONOTONE_CUBIC`	Product natural spline interpolator with monotonicity filter.
`static CurveInterpolator`	`SQUARE_LINEAR`	Square linear interpolator.
`static CurveInterpolator`	`STEP_UPPER`	Step upper interpolator.
`static CurveInterpolator`	`TIME_SQUARE`	Time square interpolator.

Method Summary
- Methods inherited from class java.lang.Object
  clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- 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.
  - DOUBLE_QUADRATIC
```
public static final CurveInterpolator DOUBLE_QUADRATIC
```
    Double quadratic interpolator.
  - 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.

Class CurveInterpolators

Field Summary

Method Summary

Methods inherited from class java.lang.Object

Field Detail

LINEAR

LOG_LINEAR

SQUARE_LINEAR

DOUBLE_QUADRATIC

TIME_SQUARE

LOG_NATURAL_SPLINE_MONOTONE_CUBIC

LOG_NATURAL_SPLINE_DISCOUNT_FACTOR

NATURAL_CUBIC_SPLINE

NATURAL_SPLINE

NATURAL_SPLINE_NONNEGATIVITY_CUBIC

PRODUCT_NATURAL_SPLINE

PRODUCT_NATURAL_SPLINE_MONOTONE_CUBIC

PRODUCT_LINEAR

STEP_UPPER

PCHIP