Re: LogLinear Interpolation

Posted by Andre Louw-2 on Jun 27, 2002; 5:09am
URL: http://quantlib.414.s1.nabble.com/LogLinear-interpolation-tp10120p10125.html

Luigi,

Disregard my previous rant. I got my facts a bit mixed up.

Nando's implementation of log-linear interpolation is quite correct. What
had me confused is that I remember it (parrot wise) as:
        dfx = df1*((df2/df1)^((t3-t1)/(t2-t1))), which, alas, as you pointed
out matches Nando's!

Sorry for the confusion, I will in any case implement a linear interpolation
on continuos compounding.

Could you give me a bit more on how one would go about giving DiscountCurve
the ability to distinguish which to use?

Andre



 
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