[Quantlib-dev] LogLinear interpolation

[Andre L. <An...@de...>]

Nando,

I just checked out loglinearinterpolation and noted the change you
implemented. I have a comment.

Correct me if i'm wrong, but I see you are using linear interpolation on
cont. compounded rates to get to the resulting discount factor i.o.w:

	cf1 = ln(df1), cf2 = ln(df2)
	dfx = exp(cf1+((tx-t1)/(t2-t1))*(cf2-cf1)))

I implemented loglinear interpolation to get to the result i.o.w:

	dfx = (df1^(tx/t1*(t2-tx)/(t2-t1)))*(df2^(tx/t2*(tx-t1)/(t2-t1)))

Not quite the same thing.

If that is your institution's standard, fine, but could I then rename your
implementation as contcomplinearinterpolation.hpp (or some such name), as I
see the original implementation being log-linear interpolation? We could the
implement a mechanism in DiscountCurve to distinguish which to use? 

I had a problem with the original implementation between t1 = 0 and some tx
which I solved by testing for this condition and calculating dfx:
	dfx = 1/1+((1/df2-1)/t2)*tx

Comments?

Andre


 
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