com.opengamma.strata.math.impl.interpolation

Class PiecewisePolynomialInterpolator

java.lang.Object

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

Direct Known Subclasses:

ClampedPiecewisePolynomialInterpolator, ConstrainedCubicSplineInterpolator, CubicSplineInterpolator, LinearInterpolator, MonotonicityPreservingCubicSplineInterpolator, NaturalSplineInterpolator, NonnegativityPreservingCubicSplineInterpolator, PiecewiseCubicHermiteSplineInterpolator, PiecewiseCubicHermiteSplineInterpolatorWithSensitivity, ProductPiecewisePolynomialInterpolator, SemiLocalCubicSplineInterpolator

public abstract class PiecewisePolynomialInterpolator
extends Object

Abstract class for interpolations based on piecewise polynomial functions .

Constructor Summary

Constructors

Constructor and Description
PiecewisePolynomialInterpolator()

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.
protected double	getValue(double[] coefs, double x, double leftknot)
protected double	getValue(DoubleArray coefs, double x, double leftknot)
abstract PiecewisePolynomialResult	interpolate(double[] xValues, double[] yValues) Interpolate.
abstract PiecewisePolynomialResult	interpolate(double[] xValues, double[][] yValuesMatrix) Interpolate.
DoubleArray	interpolate(double[] xValues, double[][] yValuesMatrix, double x) Interpolate.
DoubleMatrix	interpolate(double[] xValues, double[][] yValuesMatrix, double[] x) Interpolate.
DoubleMatrix[]	interpolate(double[] xValues, double[][] yValuesMatrix, double[][] xMatrix) Interpolate.
double	interpolate(double[] xValues, double[] yValues, double xKey) Interpolate.
DoubleArray	interpolate(double[] xValues, double[] yValues, double[] xKeys) Interpolate.
DoubleMatrix	interpolate(double[] xValues, double[] yValues, double[][] xMatrix) Interpolate.
abstract PiecewisePolynomialResultsWithSensitivity	interpolateWithSensitivity(double[] xValues, double[] yValues) Derive interpolant on {xValues_i, yValues_i} and (yValues) node sensitivity.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

PiecewisePolynomialInterpolator

public PiecewisePolynomialInterpolator()

Method Detail

interpolate

public abstract PiecewisePolynomialResult interpolate(double[] xValues,
                                                      double[] yValues)

Interpolate.

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 abstract PiecewisePolynomialResult interpolate(double[] xValues,
                                                      double[][] yValuesMatrix)

Interpolate.

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

interpolate

public double interpolate(double[] xValues,
                          double[] yValues,
                          double xKey)

Interpolate.

Parameters:

xValues - X values of data

yValues - Y values of data

xKey - the key

Returns:

value of the underlying cubic spline function at the value of x

interpolate

public DoubleArray interpolate(double[] xValues,
                               double[] yValues,
                               double[] xKeys)

Interpolate.

Parameters:

xValues - X values of data

yValues - Y values of data

xKeys - the keys

Returns:

Values of the underlying cubic spline function at the values of x

interpolate

public DoubleMatrix interpolate(double[] xValues,
                                double[] yValues,
                                double[][] xMatrix)

Interpolate.

Parameters:

xValues - the values

yValues - the values

xMatrix - the matrix

Returns:

Values of the underlying cubic spline function at the values of x

interpolate

public DoubleArray interpolate(double[] xValues,
                               double[][] yValuesMatrix,
                               double x)

Interpolate.

Parameters:

xValues - the values

yValuesMatrix - the matrix

x - the x

Returns:

Values of the underlying cubic spline functions interpolating {yValuesMatrix.RowVectors} at the value of x

interpolate

public DoubleMatrix interpolate(double[] xValues,
                                double[][] yValuesMatrix,
                                double[] x)

Interpolate.

Parameters:

xValues - the values

yValuesMatrix - the matrix

x - the s

Returns:

Values of the underlying cubic spline functions interpolating {yValuesMatrix.RowVectors} at the values of x

interpolate

public DoubleMatrix[] interpolate(double[] xValues,
                                  double[][] yValuesMatrix,
                                  double[][] xMatrix)

Interpolate.

Parameters:

xValues - the values

yValuesMatrix - the matrix

xMatrix - the matrix

Returns:

Values of the underlying cubic spline functions interpolating {yValuesMatrix.RowVectors} at the values of xMatrix

interpolateWithSensitivity

public abstract PiecewisePolynomialResultsWithSensitivity interpolateWithSensitivity(double[] xValues,
                                                                                     double[] yValues)

Derive interpolant on {xValues_i, yValues_i} and (yValues) node sensitivity.

Parameters:

xValues - X values of data

yValues - Y values of data

Returns:

PiecewisePolynomialResultsWithSensitivity

getPrimaryMethod

public PiecewisePolynomialInterpolator getPrimaryMethod()

Hyman filter modifies derivative values at knot points which are initially computed by a "primary" interpolator.

Returns:

The primary interpolator for Hyman filter, interpolation method itself for other interpolators

getValue

protected double getValue(DoubleArray coefs,
                          double x,
                          double leftknot)

Parameters:

coefs - {a_n,a_{n-1},...} of f(x) = a_n x^{n} + a_{n-1} x^{n-1} + ....

x - the x

leftknot - the knot specifying underlying interpolation function

Returns:

the value of the underlying interpolation function at the value of x

getValue

protected double getValue(double[] coefs,
                          double x,
                          double leftknot)

Parameters:

coefs - {a_n,a_{n-1},...} of f(x) = a_n x^{n} + a_{n-1} x^{n-1} + ....

x - the x

leftknot - the knot specifying underlying interpolation function

Returns:

the value of the underlying interpolation function at the value of x