Piecewise Quadratic interpolation

Strata
1

We have been using Strata library for almost two years now and have found it to be super useful and extendable.
We came across a use case recently where we need to support piece wise quadratic interpolation of implied volatility. However Piecewise Quadratic isn’t currently supported in Strata.

Please suggest the best possible way to implement the same.Can we build Custom interpolators and Extrapolators?

2

Curve interpolators/extrapolators are located as just another kind of extended enum in Strata:
https://strata.opengamma.io/extended_enum/

You can write your own, and register them in your own CurveInterpolator.ini file located in META-INF/com/opegamma/strata/config/application. Extrapolators can be added similarly.