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Add Extra Interpolation and Spline Methods for Funding curves

Open domokane opened this issue 4 years ago • 2 comments

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

domokane avatar Oct 30 '20 20:10 domokane

Hi @domokane, I would also be interested to work on this task.

quantinsights avatar Dec 23 '21 19:12 quantinsights

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

domokane avatar Dec 24 '21 00:12 domokane