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

Class PiecewiseCubicHermiteSplineInterpolator

java.lang.Object

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

com.opengamma.strata.math.impl.interpolation.PiecewiseCubicHermiteSplineInterpolator

public class PiecewiseCubicHermiteSplineInterpolator
extends PiecewisePolynomialInterpolator

C1 cubic interpolation preserving monotonicity based on Fritsch, F. N.; Carlson, R. E. (1980) "Monotone Piecewise Cubic Interpolation", SIAM Journal on Numerical Analysis 17 (2): 238–246. Fritsch, F. N. and Butland, J. (1984) "A method for constructing local monotone piecewise cubic interpolants", SIAM Journal on Scientific and Statistical Computing 5 (2): 300-304.

Constructor Summary

Constructors

Constructor	Description
PiecewiseCubicHermiteSplineInterpolator()

Method Summary

Modifier and Type	Method	Description
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

getPrimaryMethod, 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

PiecewiseCubicHermiteSplineInterpolator

public PiecewiseCubicHermiteSplineInterpolator()

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