Re: linear vs log-linear

Posted by Ferdinando M. Ametrano-3 on Apr 18, 2008; 8:57am
URL: http://quantlib.414.s1.nabble.com/linear-vs-log-linear-tp5932p5933.html

Hi Xin

>  I have a question on these two interpolation methods provided in QuantLib :
>  Linear and Log-linear
>  How are these two different?

Linear interpolation interpolates linearly between the {f_i} values of
a function f defined at {x_i}.
Log-Linear interpolation interpolates linearly between the {log(f_i)}
values of a function f defined at {x_i}.

>  I wrote some own some codes with a linear
>  method to bootstrap a zero curve, and the results seemed to be the same as
>  what I got using the QuantLib Log-linear as the interpolator....
I doubt this can be the case... the results are probably not
dramatically different, but they must be numerically different

ciao -- Nando

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