Posted by
Simon Ibbotson on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5475.html
The convex-monotone method also contains a piecewise quadratic function which can be set (removes the constraint of monotonicity).
Sent from my BlackBerry® wireless device
-----Original Message-----
From: Ferdinando Ametrano <
[hidden email]>
Date: Thu, 27 May 2010 18:29:50
To: <
[hidden email]>
Cc: <
[hidden email]>; zlee<
[hidden email]>
Subject: Re: [Quantlib-users] yield curve bootstrapping
On Thu, May 27, 2010 at 6:25 PM, Luigi Ballabio
<
[hidden email]> wrote:
>> 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?
mmm... the convenience class might be buried deep down in the file but
it's already there:
class Parabolic : public CubicInterpolation {
public:
/*! \pre the \f$ x \f$ values must be sorted. */
template <class I1, class I2>
Parabolic(const I1& xBegin,
const I1& xEnd,
const I2& yBegin)
: CubicInterpolation(xBegin, xEnd, yBegin,
CubicInterpolation::Parabolic, false,
SecondDerivative, 0.0,
SecondDerivative, 0.0) {}
};
ciao -- Nando
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users