PiecewiseYieldCurve and Interpolator class

[jing lu]

All,

I am trying to build a term structure using the PiecewiseYieldCurve class
like  foo = new PiecewiseYieldCurve<ZeroYield,LogLinear>(......). I can use
class LogLinear, class Linear or Class ForwardFlat for the 2nd argument, I
wonder which class should I use if I want CubicSpline as the interpolation
method.

Thanks,

Jing

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[Luigi Ballabio]

On Wed, 2007-06-27 at 14:28 -0700, jing lu wrote:
> I am trying to build a term structure using the PiecewiseYieldCurve
> class
> like  foo = new PiecewiseYieldCurve<ZeroYield,LogLinear>(......). I
> can use
> class LogLinear, class Linear or Class ForwardFlat for the 2nd
> argument, I
> wonder which class should I use if I want CubicSpline as the
> interpolation
> method.

You can use Cubic. You can specify a few parameters, too---see
test-suite/piecewiseyieldcurve.cpp for examples.

Luigi


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