lballabio / QuantLib-SWIG

QuantLib wrappers to other languages
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Exposed parabolic (Hermite) cubic spline interpolation schemes #643

Closed marcin-rybacki closed 4 months ago

marcin-rybacki commented 4 months ago

In this PR I would like to expose parabolic cubic spline interpolation schemes, which are in fact the Bessel Hermite cubic spline schemes as defined in Hagan, West, Interpolation Methods for Curve Construction (2006), in formulas (18), (19) and (20).