Re: [Quantlib-users] Interpolation/Smoothing Algo for 2D surface

[Mike D. <mik...@gm...>]

Maybe try using the weights input for the below function?

https://numpy.org/doc/stable/reference/generated/numpy.average.html



On Tue, Mar 29, 2022 at 3:53 PM Michael (DataDriven portal) <
mi...@da...> wrote:

> Hi All,
>
> I have a 2D matrix with each cell that is backed by observations with
> certain characteristics and shows weighted average performance values (see
> below for an example).
>
> Some of the cells are backed by too few observations and therefore this 2D
> surface is not smooth enough in those cells (see yellow cells below e.g.)
>
> What is the best algo for smoothing this surface taking into account the
> number of observations (e.g. cells with more observations should we
> weighted heavier). E.g. is there a Python weighted spline lib available or
> something similar?
>
> [image: image.png]
>
> Thanks,
>
> Michael
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