Re: Extrapolation classes

Posted by Luigi Ballabio on Apr 10, 2013; 4:06pm
URL: http://quantlib.414.s1.nabble.com/Extrapolation-classes-tp14200p14201.html

No, there's not.  When asked to extrapolate, interpolations just
extend the same formula they use in the regular range.  Classes using
an interpolation object and needing a different behavior currently
implement it themselves.  I agree that it would be useful to
generalize it as you sketched, though.

Luigi


On Wed, Apr 10, 2013 at 5:54 PM, Ibbotson, Simon
<[hidden email]> wrote:

> 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
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> Prudential Regulation Authority
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