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

Class ProductPiecewisePolynomialInterpolator

java.lang.Object

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

com.opengamma.strata.math.impl.interpolation.ProductPiecewisePolynomialInterpolator

public class ProductPiecewisePolynomialInterpolator
extends PiecewisePolynomialInterpolator

Given a data set {xValues[i], yValues[i]}, interpolate {xValues[i], xValues[i] * yValues[i]} by a piecewise polynomial function. The interpolation can be clamped at {xValuesClamped[j], xValuesClamped[j] * yValuesClamped[j]}, i.e., {xValuesClamped[j], yValuesClamped[j]}, where the extra points can be inside or outside the data range. By default right extrapolation is completed with a linear function, whereas default left extrapolation uses polynomial coefficients for the leftmost interval and left linear extrapolation can be straightforwardly computed from the coefficients. This default setting is changed by adding extra node points outside the data range.

Constructor Summary

Constructors

Constructor	Description
ProductPiecewisePolynomialInterpolator(PiecewisePolynomialInterpolator baseMethod)	Construct the interpolator without clamped points.
ProductPiecewisePolynomialInterpolator(PiecewisePolynomialInterpolator baseMethod, double[] xValuesClamped, double[] yValuesClamped)	Construct the interpolator with clamped points.

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

ProductPiecewisePolynomialInterpolator

public ProductPiecewisePolynomialInterpolator(PiecewisePolynomialInterpolator baseMethod)

Construct the interpolator without clamped points.

Parameters:

baseMethod - The base interpolator must not be itself

ProductPiecewisePolynomialInterpolator

public ProductPiecewisePolynomialInterpolator(PiecewisePolynomialInterpolator baseMethod,
                                              double[] xValuesClamped,
                                              double[] yValuesClamped)

Construct the interpolator with clamped points.

Parameters:

baseMethod - The base interpolator must be not be itself

xValuesClamped - X values of the clamped points

yValuesClamped - Y values of the clamped points

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