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.MathAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public double[] GetSplineValue(
double[] evaluationPoints,
double[] coefficients,
int ideriv
)
Public Function GetSplineValue (
evaluationPoints As Double(),
coefficients As Double(),
ideriv As Integer
) As Double()
public:
array<double>^ GetSplineValue(
array<double>^ evaluationPoints,
array<double>^ coefficients,
int ideriv
)
member GetSplineValue :
evaluationPoints : float[] *
coefficients : float[] *
ideriv : int -> float[]
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
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 or
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
and
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
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