com.opengamma.strata.market.curve.interpolator

Class CurveInterpolators

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 and 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.