Re: Interpolation in PieceWiseFlatForward
Posted by
K.LAMINE-2 on
URL: http://quantlib.414.s1.nabble.com/Interpolation-in-PieceWiseFlatForward-tp3834p3836.html
Thanks a lot Luigi,
Now I am finding the right results.
I am actually trying to replicate the
results of fixing(), so I don't need to implement a way of interpolating
the Libor rates. However, I am willing to do this as a contribution as
soon as I have completed my current work, should this be of any interest.
Later,
Karim
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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