Package com.opengamma.strata.math.impl.interpolation

Class NonnegativityPreservingCubicSplineInterpolator

java.lang.Object

com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialInterpolator

com.opengamma.strata.math.impl.interpolation.NonnegativityPreservingCubicSplineInterpolator

public class NonnegativityPreservingCubicSplineInterpolator
extends PiecewisePolynomialInterpolator

Filter for nonnegativity of cubic spline interpolation based on R. L. Dougherty, A. Edelman, and J. M. Hyman, "Nonnegativity-, Monotonicity-, or Convexity-Preserving Cubic and Quintic Hermite Interpolation" Mathematics Of Computation, v. 52, n. 186, April 1989, pp. 471-494. First, interpolant is computed by another cubic interpolation method. Then the first derivatives are modified such that non-negativity conditions are satisfied. Note that shape-preserving three-point formula is used at endpoints in order to ensure positivity of an interpolant in the first interval and the last interval

Constructor Summary

Constructors

Constructor	Description
NonnegativityPreservingCubicSplineInterpolator(PiecewisePolynomialInterpolator method)	Primary interpolation method should be passed.

Method Summary

Modifier and Type	Method	Description
PiecewisePolynomialInterpolator	getPrimaryMethod()	Hyman filter modifies derivative values at knot points which are initially computed by a "primary" interpolator.
PiecewisePolynomialResult	interpolate(double[] xValues, double[] yValues)	Interpolate.
PiecewisePolynomialResult	interpolate(double[] xValues, double[][] yValuesMatrix)	Interpolate.
PiecewisePolynomialResultsWithSensitivity	interpolateWithSensitivity(double[] xValues, double[] yValues)	Derive interpolant on {xValues_i, yValues_i} and (yValues) node sensitivity.

Methods inherited from class com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialInterpolator

getValue, getValue, interpolate, interpolate, interpolate, interpolate, interpolate, interpolate

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

NonnegativityPreservingCubicSplineInterpolator

public NonnegativityPreservingCubicSplineInterpolator(PiecewisePolynomialInterpolator method)

Primary interpolation method should be passed.

Parameters:

method - PiecewisePolynomialInterpolator

Method Detail

interpolate

public PiecewisePolynomialResult interpolate(double[] xValues,
                                             double[] yValues)

Description copied from class: PiecewisePolynomialInterpolator

Interpolate.

Specified by:

interpolate in class PiecewisePolynomialInterpolator

Parameters:

xValues - X values of data

yValues - Y values of data

Returns:

PiecewisePolynomialResult containing knots, coefficients of piecewise polynomials, number of intervals, degree of polynomials, dimension of spline

interpolate

public PiecewisePolynomialResult interpolate(double[] xValues,
                                             double[][] yValuesMatrix)

Description copied from class: PiecewisePolynomialInterpolator

Interpolate.

Specified by:

interpolate in class PiecewisePolynomialInterpolator

Parameters:

xValues - X values of data

yValuesMatrix - Y values of data

Returns:

Coefficient matrix whose i-th row vector is {a_n, a_{n-1}, ... } of f(x) = a_n * (x-x_i)^n + a_{n-1} * (x-x_i)^{n-1} +... for the i-th interval

interpolateWithSensitivity

public PiecewisePolynomialResultsWithSensitivity interpolateWithSensitivity(double[] xValues,
                                                                            double[] yValues)

Description copied from class: PiecewisePolynomialInterpolator

Derive interpolant on {xValues_i, yValues_i} and (yValues) node sensitivity.

Specified by:

interpolateWithSensitivity in class PiecewisePolynomialInterpolator

Parameters:

xValues - X values of data

yValues - Y values of data

Returns:

PiecewisePolynomialResultsWithSensitivity

getPrimaryMethod

public PiecewisePolynomialInterpolator getPrimaryMethod()

Description copied from class: PiecewisePolynomialInterpolator

Hyman filter modifies derivative values at knot points which are initially computed by a "primary" interpolator.

Overrides:

getPrimaryMethod in class PiecewisePolynomialInterpolator

Returns:

The primary interpolator for Hyman filter, interpolation method itself for other interpolators