Re: LogLinear Interpolation

Posted by Luigi Ballabio-4 on Jun 27, 2002; 10:16am
URL: http://quantlib.414.s1.nabble.com/LogLinear-interpolation-tp10120p10126.html

At 01:05 PM 6/27/02 +0200, Andre Louw wrote:
>Disregard my previous rant. I got my facts a bit mixed up.

I know the feeling. And vacations are still sooo far away...


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

Sure. Modifying DiscountCurve so that it can use different interpolations
in easy enough: you just have to declare it as:

     template <class DfInterpolation>
     class DiscountCurve : public DiscountStructure {
         ... blah blah ...
         // typedef Math::LogLinearInterpolation <     remove this typedef!!
         // std::vector < Time >::const_iterator,
         // std::vector < double >::const_iterator > DfInterpolation;
         Handle < DfInterpolation > interpolation_;
     };

on the other hand, the instantiation would be kind of clumsy as one would
be forced to write:

     DiscountCurve<LogLinearInterpolation <
         std::vector<Time>::const_iterator,
         std::vector<double>::const_iterator > > curve(...);

Then again, we could provide a few typedefs such as:

     typedef DiscountCurve<LogLinearInterpolation <
         std::vector<Time>::const_iterator,
         std::vector<double>::const_iterator > > LogLinearDiscountCurve;

so that the instantiation would be written as:

     LogLinearDiscountCurve curve(...);


Also, I'm sure that there's some other syntax one could use so that one
could instantiate the curve as

     DiscountCurve<LogLinearInterpolation> curve(...);

but a) I don't remember it so I have to dig it out and b) I'm not sure that
all compiler will allow it.

I'll do my homework and come back.

Later,
         Luigi