Re: [Quantlib-users] PCHIP interpolation

[Peter C. <pca...@gm...>]

Hi Marek

not sure what PCHIP exactly refers to (MatLab ?), but if that is a
Hermite Spline you probably want to use CubicInterpolation with a
FirstDerivative boundary condition. Plus probably monotonic = true if
I read the docs correctly.

https://www.mathworks.com/help/matlab/ref/pchip.html

Thanks
Peter

On Mon, 21 Nov 2022 at 19:14, Marek Grasshoff <mar...@gm...> wrote:
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> Anyone knows please?
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> Mar...@gm...
> 0 (044) 778 778 0850
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> On 13 Nov 2022, at 20:06, Marek Grasshoff <mar...@gm...> wrote:
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> Hi,
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> I was wondering which interpolation method in QuantLib corresponds to PCHIP?
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> I tried MonotonicCubicNaturalSpline, but a.) the results don’t match pchip and b.) it actually does overshoot
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> Example: y = 1/(1+x^2)
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> 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
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> 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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