interpolate#

rateslib.curves.interpolate(x, x_1, y_1, x_2, y_2, interpolation, start=None)#

Perform local interpolation between two data points.

Parameters:

  • x (Any with topology) – The x-value for which the interpolated y-value is sought.

  • x_1 (same type as x) – The left bound for the local interpolation.

  • y_1 (float, Dual, Dual2) – The value at the left bound.

  • x_2 (same type as x) – The right bound for the local interpolation.

  • y_2 (float, Dual, Dual2) – The value at the right bound.

  • interpolation (str) – The interpolation rule to use in {“linear”, “log_linear”, “linear_zero_rate”, “flat_forward”, “flat_backward”}.

  • start (datetime) – Used only if interpolation is “linear_zero_rate” to identify the start date of a curve.

Return type:

float, Dual, Dual2

Notes

If x is outside the region [x_1, x_2] this function will extrapolate instead of interpolate using the same mathematical formula.

Examples

In [1]: interpolate(50, 0, 10, 100, 50, "linear")
Out[1]: 30.0

In [2]: interpolate(dt(2000, 1, 6), dt(2000, 1, 1), 10, dt(2000, 1, 11), 50, "linear")
Out[2]: 30.0