Bug(?) in interpolation of zero yields

[Sadruddin Rejeb-4]

Hello everyone,

In ql/TermStructures/piecewiseflatforward.cpp, shouldn't the zeroYieldImpl be
a simple linear interpolation between the zero yield nodes? In that case, I
think there is a small bug, fixed by the following patch

171c171
<                 return (zeroYields_[n-1]*tn+forwards_[n]*(t-tn))/t;
---
>                 return (zeroYields_[n-1]*tn+zeroYields_[n]*(t-tn))/t;

Am I correct?

Regards,
Sad

[Sadruddin Rejeb-4]

Please ignore this mail.

On Thursday 29 June 2006 13:14, Sadruddin Rejeb wrote:

> Hello everyone,
>
> In ql/TermStructures/piecewiseflatforward.cpp, shouldn't the zeroYieldImpl
> be a simple linear interpolation between the zero yield nodes? In that
> case, I think there is a small bug, fixed by the following patch
>
> 171c171
> <                 return (zeroYields_[n-1]*tn+forwards_[n]*(t-tn))/t;
> ---
>
> >                 return (zeroYields_[n-1]*tn+zeroYields_[n]*(t-tn))/t;
>
> Am I correct?
>
> Regards,
> Sad
>
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