Abstract
Interpolation is a commonly used technique that approximates a mathematical function, based on a set of points given as input. Fast interpolation is the secret for high-performance algorithms in several areas of financial engineering. This chapter shows you a few programming recipes that cover some of the most common aspects of interpolation techniques, along with their efficient implementation in C++. You will explore the main procedures used in applications and see examples of how they work in practice.
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© 2015 Carlos Oliveira
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Oliveira, C. (2015). Interpolation. In: Practical C++ Financial Programming. Apress, Berkeley, CA. https://doi.org/10.1007/978-1-4302-6716-4_8
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DOI: https://doi.org/10.1007/978-1-4302-6716-4_8
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Publisher Name: Apress, Berkeley, CA
Print ISBN: 978-1-4302-6715-7
Online ISBN: 978-1-4302-6716-4
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