[Quantlib-users] Building a PieceWise Yield Curve with a Cubic Interpolation

[GL_QL <gl...@co...>]

Hi all,

I am trying to build a piecewise yield curve with QuantlibXL, using a cubic
interpolation. In the last version of QuantlibXL, the cubic interp. is not
implemented yet.
I thought about using an interpolation object separately. I first build a
piecewise YC with, for example, a linear regression. I can extract the
points corresponding to futures, swaps, depos, set a vector date and run an
cubic interpolation with qlCubicInterpolation. Finally, I can set a yield
curve with qlZeroCurve, which takes the previously interpolated date and
yield vectors as input.

I am not satisfied with this solution. I am providing a finite number of
points to qlZeroCurve, and I don't know which interpolation is used within
this fonction to create the continuous curve. Can someone tell me what kind
of interpolation is used, and if there is a more efficient way of using a
cubic interpolation to build a piecewise yield curve ?

Thanks
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