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Hi all,
I am trying to build a piecewise yield curve with QuantlibXL, using a cubic interpolation. In the last version of QuantlibXL, the cubic interp. is not implemented yet.
I thought about using an interpolation object separately. I first build a piecewise YC with, for example, a linear regression. I can extract the points corresponding to futures, swaps, depos, set a vector date and run an cubic interpolation with qlCubicInterpolation. Finally, I can set a yield curve with qlZeroCurve, which takes the previously interpolated date and yield vectors as input.
I am not satisfied with this solution. I am providing a finite number of points to qlZeroCurve, and I don't know which interpolation is used within this fonction to create the continuous curve. Can someone tell me what kind of interpolation is used, and if there is a more efficient way of using a cubic interpolation to build a piecewise yield curve ?
Thanks
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