Re: Re: LogLinear interpolation

Posted by Luigi Ballabio-4 on Jun 29, 2002; 5:41am
URL: http://quantlib.414.s1.nabble.com/LogLinear-interpolation-tp10120p10122.html

At 01:29 PM 6/27/02 +0200, Ferdinando Ametrano wrote:
>Not quite the same thing indeed. I might be wrong but your formula is
>quite similar to "geometric interpolation"
>     dfx = (df1^((t2-tx)/(t2-t1)))*(df2^((tx-t1)/(t2-t1))).

Which is exactly the same as your loglinear formula.


Playing the devil's advocate and loving it,

                 Luigi