com.opengamma.strata.math.impl.interpolation

Class MonotonicityPreservingCubicSplineInterpolator

java.lang.Object

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

com.opengamma.strata.math.impl.interpolation.MonotonicityPreservingCubicSplineInterpolator

public class MonotonicityPreservingCubicSplineInterpolator
extends PiecewisePolynomialInterpolator

Filter for local monotonicity of cubic spline interpolation based on R. L. Dougherty, A. Edelman, and J. M. Hyman, "Nonnegativity-, Monotonicity-, or Convexity-Preserving Cubic and Quintic Hermite Interpolation" Mathematics Of Computation, v. 52, n. 186, April 1989, pp. 471-494.

First, interpolant is computed by another cubic interpolation method. Then the first derivatives are modified such that local monotonicity conditions are satisfied.

Constructor Summary

Constructors

Constructor and Description
MonotonicityPreservingCubicSplineInterpolator(PiecewisePolynomialInterpolator method) Primary interpolation method should be passed.

Method Summary

Modifier and Type	Method and 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

MonotonicityPreservingCubicSplineInterpolator

public MonotonicityPreservingCubicSplineInterpolator(PiecewisePolynomialInterpolator method)

Primary interpolation method should be passed.

Parameters:

method - PiecewisePolynomialInterpolator

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