Re: yield curve bootstrapping

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5473.html

On Thu, 2010-05-27 at 18:23 +0200, Ferdinando Ametrano wrote:

> 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.
>
> it's already available as sub-case of cubic interpolation: if you
> choose Parabolic as DerivativeApprox method you obtain a piecewise
> quadratic interpolation.

I stand corrected.  How about providing an alias for it though?

Luigi


--

If you can't convince them, confuse them.
-- Harry S. Truman



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