Extrapolation classes

[Ibbotson, Simon]

Hi all,

Is there a class that allows you to specify a behaviour for extrapolation? Perhaps a wrapper class around Interpolation that allows you to specify a different behaviour for extrapolation than for interpolation? I know this is a fairly common thing (e.g. using a constant value for extrapolation), so was expecting to see it – perhaps I’m being blind…

All assistance welcome!

Simon

 

Simon Ibbotson

Technical Specialist

Prudential Regulation Authority

Bank of England | 20 Moorgate | London EC2R 6DA | [phone]

[hidden email]

 

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[Luigi Ballabio]

No, there's not.  When asked to extrapolate, interpolations just
extend the same formula they use in the regular range.  Classes using
an interpolation object and needing a different behavior currently
implement it themselves.  I agree that it would be useful to
generalize it as you sketched, though.

Luigi


On Wed, Apr 10, 2013 at 5:54 PM, Ibbotson, Simon
<[hidden email]> wrote:

> Hi all,
>
> Is there a class that allows you to specify a behaviour for extrapolation?
> Perhaps a wrapper class around Interpolation that allows you to specify a
> different behaviour for extrapolation than for interpolation? I know this is
> a fairly common thing (e.g. using a constant value for extrapolation), so
> was expecting to see it – perhaps I’m being blind…
>
> All assistance welcome!
>
> Simon
>
>
>
> Simon Ibbotson
>
> Technical Specialist
>
> Prudential Regulation Authority
>
> Bank of England | 20 Moorgate | London EC2R 6DA | [phone]
>
> [hidden email]
>
>
>
> ***********************************************************************************
> This e-mail is intended for the addressee(s) named above and any
> other use is prohibited. It may contain confidential information. If you
> received this e-mail in error please contact the sender by return e-mail.
>
> The Bank of England does not accept legal responsibility for the contents
> of this message if it has reached you via the Internet, as Internet
> communications are not secure. Any opinions expressed are those of the
> author and are not necessarily endorsed by the Bank of England.
>
> Recipients are advised to apply their own virus checks to this message .
> ***********************************************************************************
>
>
> _____________________________________________________________________
> This e-mail has been scanned for known viruses by the Messagelabs SkyScan
> Service.
>
> ------------------------------------------------------------------------------
> Precog is a next-generation analytics platform capable of advanced
> analytics on semi-structured data. The platform includes APIs for building
> apps and a phenomenal toolset for data science. Developers can use
> our toolset for easy data analysis & visualization. Get a free account!
> http://www2.precog.com/precogplatform/slashdotnewsletter
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

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http://www2.precog.com/precogplatform/slashdotnewsletter
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