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imanuelcostigan / OldFinancialMarkets.jl

Describe and model financial markets objects using Julia
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Enable extrapolation of ZeroCurve #27

Open imanuelcostigan opened 9 years ago

imanuelcostigan commented 9 years ago

Split out of #16

imanuelcostigan commented 9 years ago

Start with extrapolation methods that would be most natural to various interpolation methods:

  1. LinearZero: Assume linear extrapolation past last pillar. But perhaps most naturally, would be to assume constant extrapolation before first pillar.
  2. LinearLogDF: Assume constant forward past last pillar and before first pillar.
  3. CubicZero: Use end point conditions to dictate extrapolation

Make sure to write test cases.