Cubic Bessel Interpolation


Using Lagrange interpolation, fit a quadratic polynomial p ( x ), to node points x j ˆ’ 1 , x j ,x j +1 . This takes the form

hence

and so evaluating this derivative at node x j we have:

Hence we fine the polynomial S j , j = 0, 1, , n ˆ’ 2 such that:

click to expand

This gives rise to coefficient values defined by (see [ 20 ]):




Interest Rate Modelling
Interest Rate Modelling (Finance and Capital Markets Series)
ISBN: 1403934703
EAN: 2147483647
Year: 2004
Pages: 132

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