- naginterfaces.library.interp.dim1_monconv_eval(x, comm)¶
dim1_monconv_evalevaluates a monotonic convex interpolant at a set of points.
For full information please refer to the NAG Library document for e01cf
- xfloat, array-like, shape
, the points at which the interpolant is to be evaluated.
- commdict, communication object, modified in place
This argument must have been initialized by a prior call to
- valfloat, ndarray, shape
The values of the interpolant at .
- fwdfloat, ndarray, shape
The values of the forward rates at .
- (errno )
dim1_monconv_disc()was not called first or the communication array has become corrupted.
dim1_monconv_evalevaluates a monotonic convex interpolant, as setup by
dim1_monconv_disc(), at the points . The function is derived from the work of Hagan and West and is described in Hagan and West (2006), Hagan and West (2008) and West (2011).
Hagan, P S and West, G, 2006, Interpolation methods for curve construction, Applied Mathematical Finance (13(2)), 89–129
Hagan, P S and West, G, 2008, Methods for constructing a yield curve, WILLMOTT Magazine (May), 70–81
West, G, 2011, The monotone convex method of interpolation, Financial Modelling Agency