naginterfaces.library.interp.dim1_​monconv_​eval

naginterfaces.library.interp.dim1_monconv_eval(x, comm)[source]

dim1_monconv_eval evaluates a monotonic convex interpolant at a set of points.

For full information please refer to the NAG Library document for e01cf

https://www.nag.com/numeric/nl/nagdoc_28.6/flhtml/e01/e01cff.html

Parameters
xfloat, array-like, shape

, the points at which the interpolant is to be evaluated.

commdict, communication object, modified in place

Communication structure.

This argument must have been initialized by a prior call to dim1_monconv_disc().

Returns
valfloat, ndarray, shape

The values of the interpolant at .

fwdfloat, ndarray, shape

The values of the forward rates at .

Raises
NagValueError
(errno )

Either dim1_monconv_disc() was not called first or the communication array has become corrupted.

Notes

dim1_monconv_eval evaluates 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).

References

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