Curve Interpolators and Extrapolators Permissible Values

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Interpolator Permissible Values

Interpolator Description
DoubleQuadratic Double quadratic interpolator
Linear Linear interpolator
LogLinear Log linear interpolator
LogLinearDiscountFactor (*) Log linear interpolation of discount factors
LogNaturalSplineDiscountFactor Log natural spline interpolator for discount factors
LogNaturalSplineMonotoneCubic Log natural spline interpolation with monotonicity filter
NaturalCubicSpline Natural cubic spline interpolator
NaturalSpline Natural spline interpolator
NaturalSplineNonnegativityCubic Natural spline interpolator with non-negativity filter
PiecewiseCubicHermiteMonotonicity Piecewise cubic Hermite interpolator with monotonicity
ProductLinear Product linear interpolator
ProductNaturalSpline Product natural spline interpolator
ProductNaturalSplineMonotoneCubic Product natural spline interpolator with monotonicity filter
SquareLinear Square linear interpolator
StepLower Step lower interpolator
StepUpper Step upper interpolator
TimeSquare Time square interpolator

(*) The LogLinearDiscountFactor interpolator can only be applied to IR curves where "Interpolation Type" = "Discount Factor". The interpolation is performed on derived discount factors from curve node ZC values. If this interpolator is selected, "Flat" and "Linear" are the only permissible extrapolators.

Extrapolator Permissible Values

Extrapolator Description
DiscountFactorLinearRightZeroRateCurve Discount factor linear right extrapolator for zero rates
DiscountFactorQuadraticLeftZeroRate Discount factor quadratic left extrapolator for zero rates
Exception Extrapolator that throws an exception if extrapolation is attempted
Exponential Exponential extrapolator
Flat Flat extrapolator
Interpolator Interpolator extrapolator
Linear Linear extrapolator
LogLinear Log linear extrapolator
ProductLinear Product linear extrapolator
QuadraticLeft Quadratic left extrapolator

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