OpenGamma/OG-Platform — pull request #275 by richardopengamma (2014-11-13 15:23:39+00:00)
Title: topic/PLAT-6858

This adds a new interpolator (ProductInterpolator1D) that for a set of knots x and y uses a supplied base interpolator to interpolate on x and x*y - the interpolation result is divided by x before being retuned so the user just sees an interpolation on x-y.

Financial applications include interpolating on the product of the zero rates and time (equivalent to interpolation
on the log of the discount factors) and interpolating on the total variance (sigma-squared multiplied by time).