Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/DiscretizedDiscountBond-and-Tree-tp1230p1233.html
On Wed, 2007-08-01 at 10:24 +0200,
[hidden email]
wrote:
> I was performing some debug and I fell in the linearinterpolation.hpp
> file.
> There is something puzzling me:
> If I understood it right, the class LinearInterpolationImpl takes a
> vector of abscissas "x" and a vector of corresponding values "y"
> They have obviously the same size
> But there is also a vector "s_" which seems to be the vector of slopes
> necessary for the interpolation: it is set of the same size of "x" and
> "y" but the last value is never fixed and is left equal to zero.
> So if I should need to extrapolate outside the last abscissa it would
> be done in a flat way
Ciao Marco,
I had a look at the file. It seems that a problem slipped in---once you
create a LinearInterpolation object, you need to call its update()
method manually before it can be used.
Once you do this, the extrapolation is performed linearly. I think that
the last value of s_ is never used. Even though for some reason s_ is
created the same size as x and y, we need one fewer value; there are
only N-1 slopes between N points.
Later,
Luigi
--
Brady's First Law of Problem Solving:
When confronted by a difficult problem, you can solve it more
easily by reducing it to the question, "How would the Lone
Ranger have handled this?"
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