Re: yield curve bootstrapping

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5472.html

On Thu, May 27, 2010 at 3:18 PM, Luigi Ballabio
<[hidden email]> wrote:
> On Thu, 2010-05-06 at 05:26 -0700, zlee wrote:
>> Another question is if
>> there is an option for piecewise quadratic forward termstructure. Thanks.
>
> Not at this time.  If you wrote a quadratic interpolation with the same
> interface as the existing ones (linear, cubic etc.---you can look at the
> ql/math/interpolations folder) then you'll be able to plug it in the
> piecewise curve.

it's already available as sub-case of cubic interpolation: if you
choose Parabolic as DerivativeApprox method you obtain a piecewise
quadratic interpolation.
I know it might looks convoluted, but it isn't if you follow the cubic
interpolation definition in Hyman 83 and  Dougherty,  Edelman, Hyman
89

ciao -- Nando

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