Re: [Quantlib-dev] Extrapolation classes

[Luigi B. <lui...@gm...>]

No, there's not.  When asked to extrapolate, interpolations just
extend the same formula they use in the regular range.  Classes using
an interpolation object and needing a different behavior currently
implement it themselves.  I agree that it would be useful to
generalize it as you sketched, though.

Luigi


On Wed, Apr 10, 2013 at 5:54 PM, Ibbotson, Simon
<Sim...@ba...> wrote:
> Hi all,
>
> Is there a class that allows you to specify a behaviour for extrapolation?
> Perhaps a wrapper class around Interpolation that allows you to specify a
> different behaviour for extrapolation than for interpolation? I know this is
> a fairly common thing (e.g. using a constant value for extrapolation), so
> was expecting to see it – perhaps I’m being blind…
>
> All assistance welcome!
>
> Simon
>
>
>
> Simon Ibbotson
>
> Technical Specialist
>
> Prudential Regulation Authority
>
> Bank of England | 20 Moorgate | London EC2R 6DA | +44 (0)20 3461 7549
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> Sim...@ba...
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