Allow other interpolators/extrapolators in CreditDiscountFactors



Is it possible to allow other interpolators/extrapolators for CreditDiscountFactors? Currently we are reusing our InterpolatedNodalCurve curves for constructing credit discount factors. And an existing limitation of PRODUCT_LINEAR/FLAT/PRODUCT_LINEAR blocks us from proceeding. Do we know why exactly we have such limitation? Is it possible to remove it?

Thank you!


IIRC, the ISDA credit model requires those interpolators, which is why they are fixed. The assumption is probably baked into a few places in the credit code.