Extrapolation classes

Posted by Ibbotson, Simon on Apr 10, 2013; 3:54pm
URL: http://quantlib.414.s1.nabble.com/Extrapolation-classes-tp14200.html

Hi all,

Is there a class that allows you to specify a behaviour for extrapolation? Perhaps a wrapper class around Interpolation that allows you to specify a different behaviour for extrapolation than for interpolation? I know this is a fairly common thing (e.g. using a constant value for extrapolation), so was expecting to see it – perhaps I’m being blind…

All assistance welcome!

Simon

 

Simon Ibbotson

Technical Specialist

Prudential Regulation Authority

Bank of England | 20 Moorgate | London EC2R 6DA | [phone]

[hidden email]

 

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