quartic "maximum smoothness" interpolation methods

Posted by mudcrab on Jul 22, 2010; 11:02pm
URL: http://quantlib.414.s1.nabble.com/Poisson-process-tp418p420.html

Hi everyone,

Does anyone know if the "maximum smoothness" quartic interpolation from
the papers below has been implemented in QuantLib?  Is there any interest
in these methods?

Thanks.


Adams, K. (2001) Smooth interpolation of zero curves, Algo Research
Quarterly, 4(1/2), pp. 11–22.

Adams, K. J. and van Deventer, D. R. (1994) Fitting yield curves and
forward rate curves with maximum smoothness, Journal of Fixed Income, June
4(1), pp. 52–62.


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