Hagan P S and West G (2006) Interpolation methods for curve construction Applied Mathematical Finance13(2) 89–129
Hagan P S and West G (2008) Methods for constructing a yield curve WILLMOTT MagazineMay 70–81
West G (2011) The monotone convex method of interpolation Financial Modelling Agency
1: – IntegerInput
On entry: , the number of points at which the interpolant is to be evaluated.
2: – const doubleInput
On entry: , the points at which the interpolant is to be evaluated.
3: – doubleOutput
On exit: the values of the interpolant at .
4: – doubleOutput
On exit: the values of the forward rates at .
5: – doubleCommunication Array
Note: the actual argument supplied must be the array comm supplied to the initialization routine e01cec.
On entry: contains details of the interpolant.
comm should not be changed following a call to e01cec.
6: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error Indicators and Warnings
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
Either e01cec was not called first or the communication array has become corrupted.
On entry, argument had an illegal value.
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
The computational errors in the array comm should be negligible in most practical situations.
8Parallelism and Performance
e01cfc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.
e01cfc internally allocates reals.
This example reads in a set of data points, calls e01cec to compute a monotonic convex interpolant, and then calls e01cfc to evaluate the interpolant at equally spaced points.