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Add Extra Interpolation and Spline Methods for Funding curves #46

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domokane opened this issue Oct 30, 2020 · 2 comments
Open

Add Extra Interpolation and Spline Methods for Funding curves #46

domokane opened this issue Oct 30, 2020 · 2 comments

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@domokane
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Would like to add additional methods from Hagan West.

Forward Monotone Convex Spline
Raw Interpolation
Minimalist Quadratic Interpolator

An implementation can be found here.

https://github.com/KNFO-MIMUW/Hagan_West_interpolation
@quantinsights
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Hi @domokane, I would also be interested to work on this task.

@domokane
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OK. I already added some but it's fine to add more. Let me know before you begin.
Thanks
D

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@quantinsights @domokane