FinancePy
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Add Extra Interpolation and Spline Methods for Funding curves
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
Hi @domokane, I would also be interested to work on this task.
OK. I already added some but it's fine to add more. Let me know before you begin. Thanks D