[Quantlib-users] PCHIP interpolation

[Marek G. <mar...@gm...>]

Hi,



I was wondering which interpolation method in QuantLib corresponds to PCHIP?



I tried MonotonicCubicNaturalSpline, but a.) the results don't match pchip
and b.) it actually does overshoot



Example: y = 1/(1+x^2)

Set samples for x = -5, -4.3, -3.6, -2.9, -2.2, -1.5, -0.8, -0.1, 0.6, 1.3,
2, 2.7, 3.4, 4.1, 4.8

And you will see for x_target = 0.0 an overshoot (the interpolation for x =
0.0 is bigger than any of the sample y)