net.finmath.interpolation
Class RationalFunctionInterpolation

java.lang.Object
  net.finmath.interpolation.RationalFunctionInterpolation

public class RationalFunctionInterpolation
extends Object

This class provides methodologies to interpolate given sample points by rational functions, that is, given interpolation points (x_i,y_i) the class provides a continuous function y = f(x) where

• f(x_i) = y_i and
• for x_i < x < x_i+1 the function is a fraction of two polynomes f(x) = (sum a_j x^j) / (sum b_k x^k).

This setup comprises linear interpolation (for which the function is C⁰) and cubic spline interpolation (for which the function is C¹).

Version:

1.3

Author:

Christian Fries

Nested Class Summary

static class	RationalFunctionInterpolation.ExtrapolationMethod
static class	RationalFunctionInterpolation.InterpolationMethod

Constructor Summary

RationalFunctionInterpolation(double[] points, double[] values)
Generate a rational function interpolation from a given set of points.

RationalFunctionInterpolation(double[] points, double[] values, RationalFunctionInterpolation.InterpolationMethod interpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod extrapolationMethod)
Generate a rational function interpolation from a given set of points using the specified interpolation and extrapolation method.

Method Summary

RationalFunctionInterpolation.InterpolationMethod	getInterpolationMethod() Returns the interpolation method used.
double	getValue(double x) Get an interpolated value for a given argument x.
static void	main(String[] args)

Methods inherited from class java.lang.Object

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

Constructor Detail

RationalFunctionInterpolation

public RationalFunctionInterpolation(double[] points,
                                     double[] values)

Generate a rational function interpolation from a given set of points.

Parameters:

points - The array of the x_i sample points of a function y=f(x).

values - The corresponding array of the y_i sample values to the sample points x_i.

RationalFunctionInterpolation

public RationalFunctionInterpolation(double[] points,
                                     double[] values,
                                     RationalFunctionInterpolation.InterpolationMethod interpolationMethod,
                                     RationalFunctionInterpolation.ExtrapolationMethod extrapolationMethod)

Generate a rational function interpolation from a given set of points using the specified interpolation and extrapolation method.

Parameters:

points - The array of the x_i sample points of a function y=f(x).

values - The corresponding array of the y_i sample values to the sample points x_i.

interpolationMethod - The interpolation method to be used.

extrapolationMethod - The extrapolation method to be used.

Method Detail

getInterpolationMethod

public RationalFunctionInterpolation.InterpolationMethod getInterpolationMethod()

Returns the interpolation method used.

Returns:

Returns the interpolationMethod.

getValue

public double getValue(double x)

Get an interpolated value for a given argument x.

Parameters:

x - The abscissa at which the interpolation should be performed.

Returns:

The interpolated value (ordinate).

main

public static void main(String[] args)