LogCubic interpolator

[Richard Gomes]

An user reported an issue with LogCubicInterpolator.

Please verify if our translation is in accordance with QuantLib 0.9.7.
If it is not (which means we have a bug, probably!), please validate an implement the fix sent by the user.

Additional information below.

Thanks

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Additional Information
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Richard,

I tried to test LogCubic interpolator (class LogCubic) and it produced incorrect results – in fact, returned interpolated argument vlaues instead of function values.

It turns out, the problem (most likely, typo) was in AbstractInterpolation::LogInterpolationImpl::update() - jquantlib/src/main/java/org/jquantlib/math/interpolations/AbstractInterpolation.java, line 305 (marked red) :

      public void update() {

            for (int i=0; i<logY_.size(); i++) {

                QL.require(vy.get(i)>0.0, "invalid value"); // TODO: message

                logY_.set(i, Math.log(vx.get(i)));

            }

            interpolation_.update();

        }

logY_ is initialized with x-values, and y-values (vy) are never used anywhere else, so argument becomes the value being interpolated.
Besides, intuitively it is evident that logY_ means log of Y, not X, and in the line above you make sure y-value is non-negative, obviously condition to take logarithm. So I figured it must be typo and replaced vx with vy - now, it worked fine.
The corrected version is below :

      public void update() {

            for (int i=0; i<logY_.size(); i++) {

                QL.require(vy.get(i)>0.0, "invalid value"); // TODO: message

                logY_.set(i, Math.log(vy.get(i)));

            }

            interpolation_.update();

        }

Hope it helps.
I wasn’t sure how to report an issue, decided to write you directly.

Kind Regards,

Boris Ashman

[Ruslan Khafizov (kharus)]

I checked original code from QuantLib 0.9.7 and it uses vy so Boris is correct. I applied fix proposed