Re: [Quantlib-users] PCHIP interpolation

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

Anyone knows please?

Mar...@gm...
0 (044) 778 778 0850

On 13 Nov 2022, at 20:06, Marek Grasshoff <mar...@gm...> wrote:


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)
 
 
 
 
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