Interpolation in PieceWiseFlatForward

Posted by K.LAMINE-2 on
URL: http://quantlib.414.s1.nabble.com/Interpolation-in-PieceWiseFlatForward-tp3834.html


Hi all,

I was wondering what kind of interpolation method is used by a PieceWise FlatForward termstructure to return interpolated rates for maturities which are not part of.0  the initialisation set.
For instance, suppose that I create a curve with the following data (inside RateHelper objects) :
03M : 3.90%
06M : 4.20%
09M : 4.40%
01Y : 4.80%
When I want to know the interpolated rate for 7M or 8M maturities either by using Xibor indexes or  the discount() function, I get values that I can't replicate when I use Linear, LogLinear, or NaturalCubicSpline interpolations.
What the termstructure gives me is :

07M : 4,28784
08M : 4.34766

Am I missing something or what ??

Thanks,

Karim LAMINE