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From: Tom A. <tw...@ur...> - 2022-08-05 13:19:38
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Hello, If i build an interpolated forward curve, then i can get the nodes (date - rate pairs) of the interpolation out by doing: curve->nodes() and i can get instantaneous(-ish) forward rates out by doing: curve->forwardRate(date, date, curve->dayCounter(), Compounding::Continuous).rate(); Should i in general expect that if i get the instantaneous forward rate on a date corresponding to a node, then it will equal the node's rate (modulo some small arithmetic errors)? I would have naively throught i should. And looking at some interpolations, this seems to be the case. But it seems not to be the case for monotone convex interpolation. Monotone convex is just a piecewise quadratic spline under the hood, really; the complexity is in how the spline is constructed (although the original paper and the QuantLib implementation both somewhat obscure this fact). So i would have expected the nodes to behave like nodes of any other interpolation. Is my expectation wrong? Or could this be a mistake in the implementation of monotone convex interpolation? Thanks, tom -- Computation is the basis of all life |