com.opengamma.strata.market.surface.interpolator

Interface BoundSurfaceInterpolator

public interface BoundSurfaceInterpolator

A surface interpolator that has been bound to a specific surface.

A bound interpolator is created from a SurfaceInterpolator. The bind process takes the definition of the interpolator and combines it with the x-y-z values. This allows implementations to optimize interpolation calculations.

Method Summary

Modifier and Type	Method and Description
ValueDerivatives	firstPartialDerivatives(double x, double y) Computes the partial derivatives of the surface.
double	interpolate(double x, double y) Computes the z-value for the specified x-y-value by interpolation.
DoubleArray	parameterSensitivity(double x, double y) Computes the sensitivity of the x-y-value with respect to the surface parameters.

Method Detail

interpolate

double interpolate(double x,
                   double y)

Computes the z-value for the specified x-y-value by interpolation.

Parameters:

x - the x-value to find the z-value for

y - the y-value to find the z-value for

Returns:

the value at the x-y-value

Throws:

RuntimeException - if the z-value cannot be calculated

firstPartialDerivatives

ValueDerivatives firstPartialDerivatives(double x,
                                         double y)

Computes the partial derivatives of the surface.

The first derivatives are dz/dx and dz/dy. The derivatives are in the following order:

• [0] derivative with respect to x
• [1] derivative with respect to y

Parameters:

x - the x-value at which the partial derivative is taken

y - the y-value at which the partial derivative is taken

Returns:

the z-value and it's partial first derivatives

Throws:

RuntimeException - if the derivative cannot be calculated

parameterSensitivity

DoubleArray parameterSensitivity(double x,
                                 double y)

Computes the sensitivity of the x-y-value with respect to the surface parameters.

This returns an array with one element for each parameter of the surface. The array contains the sensitivity of the z-value at the specified x-y-value to each parameter.

Parameters:

x - the x-value at which the parameter sensitivity is computed

y - the y-value at which the parameter sensitivity is computed

Returns:

the sensitivity

Throws:

RuntimeException - if the sensitivity cannot be calculated