Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Performance-question-tp8763p8767.html
On Thu, 2011-08-04 at 20:48 +0100, Christopher Targett-Adams wrote:
> today I've been working on a problem that involves interpolating a
> curve that is growing by one tenor at a time during a bootstrapping
> process. For arguments sake lets say it starts of with 10 tenors, I
> then do a few cubic spline interpolations, add another point (11 in
> total now), do another few interpolations, add another point, etc etc
> I tried to incorporate it into the QuantLib interpolation framework
> but ran into trouble because I couldn't see a way to update the
> interators in the base interpolation class.
In the bootstrapping algorithm in the library, we recreate the
interpolation. See <ql/termstructures/iterativebootstrap.hpp>.
Luigi
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