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

Class PiecewiseCubicHermiteSplineInterpolatorWithSensitivity

java.lang.Object

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

com.opengamma.strata.math.impl.interpolation.PiecewiseCubicHermiteSplineInterpolatorWithSensitivity

public class PiecewiseCubicHermiteSplineInterpolatorWithSensitivity
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. For interpolation without node sensitivity, use PiecewiseCubicHermiteSplineInterpolator

Constructor Summary

Constructors

Constructor	Description
PiecewiseCubicHermiteSplineInterpolatorWithSensitivity()

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

PiecewiseCubicHermiteSplineInterpolatorWithSensitivity

public PiecewiseCubicHermiteSplineInterpolatorWithSensitivity()

Method Detail

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

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