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.