Re: [Quantlib-users] question regarding discount factor interpolation

[Kiki z. <kik...@gm...>]

Thank you Luigi! That's helpful.


On Tue, Jun 4, 2024 at 9:01 AM Luigi Ballabio <lui...@gm...>
wrote:

> Hi, there's not a lot of documentation, I'm afraid.
>
> Things are more flexible in C++, where you can instantiate an
> InterpolatedDiscountCurve with the interpolation you want as a template
> argument.  In Python, we can't export the template directly so it provides
> a number of possible interpolations but not all of them; as of QUantLib
> 1.34, you can see them at  <
> https://github.com/lballabio/QuantLib-SWIG/blob/v1.34/SWIG/discountcurve.i#L57-L64>.
> So for instance, if you want monotonic log-cubic interpolation, you can use
> the second class listed there (MonotonicLogCubicDiscountCurve).  Log-linear
> interpolation used to be the default and got the simpler name,
> DiscountCurve.
>
> All these curves take as input a set of dates and the corresponding
> discounts.  If you want to interpolate between zero rates, you can use one
> of the classes listed at <
> https://github.com/lballabio/QuantLib-SWIG/blob/v1.34/SWIG/zerocurve.i#L59-L67>
> but they need a set of dates and zero rates as inputs.  You can either
> convert your discount factors into zero rates manually, or you could
> instantiate one of the discount curves above and ask them for the zero
> rates at the input dates.
>
> Hope this helps,
>     Luigi
>
>
>
>
>
> On Sat, Jun 1, 2024 at 5:10 AM Kiki zzz <kik...@gm...> wrote:
>
>> hi,
>>>
>>> I'm new to quant lib and I have some basic (or even stupid) questions.
>>> Let's say I have a list of dates and discount factors and I want to
>>> interpolate discount factors between 2 dates.
>>>
>>> - how can I choose different interpolation methods using QuantLib python
>>> interface? (e.g. in zero rate space, or forward rate space. linear or
>>> non-linear, etc)
>>>
>>> - what is the most common interpolation method (or maybe top 2 methods)
>>> used in practice? This question could be subjective or maybe there's a
>>> widely used standard in the fixed income world.
>>>
>>> It will be very helpful if someone can point me to any relevant
>>> documents or tutorial website.
>>>
>>> Really appreciate the help!
>>> Kiki
>>>
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