Hi ,
I am trying to get a Cubic Spline Function and I have created the simple function below using "Natural Cubic Spline".
But from the output below it looks more like a flat filled curve.
Am I missing anything?
Thank you for you help.
Regards,
Amandine
void test(const Date& valueDate)
{
vector<Rate> x;
vector<Rate> y;
x.push_back(0.05);
y.push_back(2);
x.push_back(0.1);
y.push_back(2.3);
x.push_back(0.15);
y.push_back(1.5);
x.push_back(0.2);
y.push_back(1);
x.push_back(0.25);
y.push_back(3.1);
NaturalCubicSpline sp(x.begin(),x.end(),y.begin());
Rate r=0.07;
while(r<=0.25)
{
Rate rr = sp(r,true);
cout << r << "," << rr << endl;
r+=0.01;
}
}
OUTPUT:
0.07,2
0.08,2
0.09,2
0.1,2
0.11,2.3
0.12,2.3
0.13,2.3
0.14,2.3
0.15,1.5
0.16,1.5
0.17,1.5
0.18,1.5
0.19,1.5
0.2,1
0.21,1
0.22,1
0.23,1
0.24,1
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