Two dimensional interpolation is a simple and useful approach to model the volatility surface. SimianQuant’s algebraic simplifiers can reduce many classes of two-dimensional interpolators into one dimensional problems. This article compares Strata’s implementation of BiLinear and LinearCubic interpolation against those generated using the SimianQuant library.

One dimensional interpolators are some of the simplest functions implemented by mathematical libraries. This article compares Strata’s implementation of linear and cubic spline interpolation against their equivalents generated using the SimianQuant library.