Interpolation: Hagan & West Forward Monotone Convex


#1

First of all, thanks for making this top notch piece of software available.

Now onto my question: I’ve seen that the Interpolation methods available are listed here:
http://opengamma.github.io/StrataDocs/apidocs/com/opengamma/strata/market/curve/interpolator/CurveInterpolators.html

I was wondering why was Hagan & West’s Forward Monotone Convex interpolation algorithm left out?

Thanks in advance,

Fabio Niski


#2

Thanks for your feedback - glad you like the library!

Strata has an implementation of this algorithm as a raw interpolator. See PiecewiseCubicHermiteSplineInterpolator. In order to use this with a curve, you’d need to wire it in via a custom CurveInterpolator. Take a look at StandardCurveInterpolators for examples on how to do this.

I’ve added a Strata issue to track this https://github.com/OpenGamma/Strata/issues/1273.


#3

It turns out my assertion from the previous email was incorrect - the interpolator is only available on the old platform: MonotoneConvexSplineInterpolator.

There’s no particular reason that this hasn’t been ported to Strata as yet, probably just that we haven’t encountered a use case where someone needed it. I’ll add another issue to ensure it gets ported at some point. https://github.com/OpenGamma/Strata/issues/1274. (Of course, you’re always welcome to contribute an implementation!)