com.opengamma.strata.math.impl.interpolation

Class NaturalSplineInterpolator

java.lang.Object

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

com.opengamma.strata.math.impl.interpolation.NaturalSplineInterpolator

Direct Known Subclasses:

LogNaturalSplineHelper

public class NaturalSplineInterpolator
extends PiecewisePolynomialInterpolator

Natural cubic spline interpolation.

C2 cubic spline interpolator with the natural endpoint condition, i.e., the second derivative values are zero at the first data point and the last data point.

Constructor Summary

Constructors

Constructor and Description
NaturalSplineInterpolator() Constructor.
NaturalSplineInterpolator(com.opengamma.strata.math.impl.interpolation.CubicSplineSolver inherit)

Method Summary

Modifier and Type	Method and 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

NaturalSplineInterpolator

public NaturalSplineInterpolator()

Constructor.

NaturalSplineInterpolator

public NaturalSplineInterpolator(com.opengamma.strata.math.impl.interpolation.CubicSplineSolver inherit)

Parameters:

inherit - the solver

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, where NumberOfRow defines dimension of the spline

Returns:

PiecewisePolynomialResult containing knots, coefficients of piecewise polynomials, number of intervals, degree of polynomials, dimension of spline

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