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FeynmanKacGetSplineValue Method
Evaluates for time value 0 or a time value in tGrid the derivative of the Hermite quintic spline interpolant at evaluation points within the range of xGrid.

Namespace: Imsl.Math
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax
public double[] GetSplineValue(
	double[] evaluationPoints,
	double[] coefficients,
	int ideriv
)

Parameters

evaluationPoints
Type: SystemDouble
A double array containing the points in x-direction at which the Hermite quintic spline representing the approximate solution to the Feynman-Kac PDE or one of its derivatives is to be evaluated. It is required that all elements in array evaluationPoints are greater than or equal to xGrid[0] and less than or equal to xGrid[xGrid.Length-1].
coefficients
Type: SystemDouble
A double array of length 3*xGrid.Length containing the coefficients of the Hermite quintic spline representing the approximate solution f or f_t to the Feynman-Kac PDE. These coefficients are the rows of the arrays splineCoeffs and splineCoeffsPrime returned by methods GetSplineCoefficients and GetSplineCoefficientsPrime. If the user wants to compute approximate solutions f or f_x,f_{xx},f_{xxx} to the Feynman-Kac PDE at time point 0, one must assign row 0 of splineCoeffs to array coefficients. If the user wants to compute these approximate solutions for time points t=tGrid[i], i=0,...,tGrid.Length-1, one must assign row i+1 of splineCoeffs to array coefficients. The same reasoning applies to the computation of approximate solutions f_t and f_{tx},f_{txx},f_{txxx} and assignment of rows of array splineCoeffsPrime to array coefficients.
ideriv
Type: SystemInt32
An int specifying the derivative to be computed. It must be 0, 1, 2 or 3.

Return Value

Type: Double
A double array containing the derivative of order ideriv of the Hermite quintic spline representing the approximate solution f or f_t to the Feynman Kac PDE at evaluationPoints. If ideriv=0, then the spline values are returned. If ideriv=1, then the first derivative is returned, etc.
See Also