RE: LogLinear interpolation

Posted by Andre Louw-2 on Jun 27, 2002; 7:04am
URL: http://quantlib.414.s1.nabble.com/LogLinear-interpolation-tp10120p10123.html

Nando,

> I might be wrong but your formula is quite similar to "geometric
interpolation"
dfx = (df1^((t2-tx)/(t2-t1)))*(df2^((tx-t1)/(t2-t1))).
I think you're right, I actually got this from some existing code and
implemented it as is. Will delve a bit deeper to get to it's origin!

> We could add to the CVS your original code as
> XXXinterpolation.hpp, but I
> would require to handle the t==0.0 case.
Don't bother, I would prefer to use loglinear.

> I'm not happy about this approach since it will allow some really bad
> interpolation choice, anyway since QuantLib users are
> supposed to be smart
> ... it's OK for me.
> If we go this way it should be clear here that it's a must for
> geometricinterpolation to handle t==0.0, or the discount near
> t=0.0 will be
> screwed up.
O.K

> Andre, I'm sorry if my changes broke some functionality you
> were relying
> upon, but in a previous email last week-end I asked about it:

That's actually what sparked me to check out the latest version from CVS.

Sorry again for the confusion, check my other e-mail.

Andre
 
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