MixedInterpolation on ForwardRates in Bootstrapping

Posted by Hartmut Jürgens on
URL: http://quantlib.414.s1.nabble.com/MixedInterpolation-on-ForwardRates-in-Bootstrapping-tp15560.html

Hi all,

experimenting with different interpolation schemes for the yield term structure in the FRA example (QuantLib\Examples\FRA\FRA.cpp) I switched from PiecewiseYieldCurve<Discount,LogLinear> to PiecewiseYieldCurve<ForwardRate,MixedLinearCubic> and wonder about the behavior of the MixedLinearCubic interpolation in the bootstrapping process (of fraTermStructure).

It may happen that the short leg ends in the linear domain (e.g. before the switch to spline) and the long leg ends in the spline domain (e.g. after the switch to spline).  The calculation of the primitive (CubicInterpolationImpl.primitive) assume, that the whole domain since reference date is interpolated by a spline. So the forward-forward calculation (in IborIndex::forecastFixing) ends up in a short linear primitive (on d1) and a long spline primitive (on d2).

Imho the determination of the integral hast to be divided in a partition where the interpolation is linear and a partition where the interpolation is spline to get a consistent integral. Otherwise the integral over the linear domain is that of a spline. Do you see any reason why this procedure may be worse compared to mixed interpolation in QuantLib? How can I get the described segmented integral in a single YieldTermStructure?

Regards
Hartmut Jürgens


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