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Practical C++ Financial Programming by Carlos Oliveira

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CHAPTER 8

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Interpolation

Interpolation is a commonly used technique that approximates a mathematical function, based on a set of points given as input. Fast interpolation is the secret for high-performance algorithms in several areas of financial engineering. This chapter shows you a few programming recipes that cover some of the most common aspects of interpolation techniques, along with their efficient implementation in C++. You will explore the main procedures used in applications and see examples of how they work in practice.

Here are some of the topics covered in this chapter.

  • Interpolation examples: a brief discussion of examples that show ...

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