Allow other interpolators/extrapolators in CreditDiscountFactors


#1

Hi,

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!


#2

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.