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Hi all,
I was wondering what kind of interpolation
method is used by a PieceWise FlatForward termstructure to return interpolated
rates for maturities which are not part of.0 the initialisation set.
For instance, suppose that I create
a curve with the following data (inside RateHelper objects) :
03M : 3.90%
06M : 4.20%
09M : 4.40%
01Y : 4.80%
When I want to know the interpolated
rate for 7M or 8M maturities either by using Xibor indexes or the
discount() function, I get values that I can't replicate when I use Linear,
LogLinear, or NaturalCubicSpline interpolations.
What the termstructure gives me is :
07M : 4,28784
08M : 4.34766
Am I missing something or what ??
Thanks,
Karim LAMINE
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