Re: Interpolation in PieceWiseFlatForward

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Interpolation-in-PieceWiseFlatForward-tp3834p3835.html

On 06/14/2005 04:57:08 PM, [hidden email] wrote:
>
> I was wondering what kind of interpolation method is used by a
> PieceWiseFlatForward termstructure to return interpolated rates for  
> maturities which are not part of.0  the initialisation set.

It's a log-linear interpolation on the implied discount factors. I  
don't think it translates into any simple expression for the spot Libor  
rates.

Interpolating directly over the latter is not implemented at this time,  
but could be done in a relatively easy way by defining a class (similar  
e.g. to InterpolatedZeroCurve) which calculates discount factors from  
such rates and by passing the new class as a template parameter to  
PiecewiseYieldCurve. Follow up for more details if you're interested in  
implementing it.

Later,
        Luigi

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