Re: R: Question about qlinterpolate and linear extrapolation

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Question-about-qlinterpolate-and-linear-extrapolation-tp4030p4033.html

Chiara,
        apologies for the delay.

On 09/21/2005 08:06:25 PM, FORNAROLA,CHIARA wrote:
> thanks for your answer this gives to me some more assurance, but it
> also generates some more questions.
> 1) is the same algorithm used for x<X{0} where X{0} is the first  
> known point of the series you use to build the line?

Yes.

> 2) I'm comparing the results of extrapolation on same input data I  
> can obtain by using:  QuantLibXL-0.3.7's qlinterpolate function,
> linear_interpolate function of Perl library and a VBA user defined
> function I create following the same algorithm you described, but I
> can't obtain the same output number.

Unless my algebra got rusty, the formula should be

y = y_{N} + (x - x_{N})*(y_{N}-y_{N-1})/(x_{N}-x_{N-1}).

Which of the three functions is closer?

Luigi

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