Credit probas ahead of mkt tenors

[japari]

The way it is right now we have no option to tell the interpolator to
extrapolate the default probabilities outside the engine level without rewriting
a specific new engine. Whats the reason for this?

If I'm not missing something this applies to all engines (interpolated
discounts/zeros) but the bond curve mkt can expand up to 50Y so we are not going
to run into this problem as easily as with credit.

Extrapolation might or not make sense depending on the interpolator, shouldn't
we decide to extrapolate at the level we set the interpolator template (the
curve passed to the engine)?

pp

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[Luigi Ballabio]

On Thu, 2008-05-22 at 12:47 +0200, [hidden email] wrote:
> The way it is right now we have no option to tell the interpolator to
> extrapolate the default probabilities outside the engine level without rewriting
> a specific new engine. Whats the reason for this?

We do. For any curve (yield, default probability, etc.) you can call

curve->enableExtrapolation();

to, well, enable extrapolation :)

Luigi


--

The rule on staying alive as a forecaster is to give 'em a number or
give 'em a date, but never give 'em both at once.
-- Jane Bryant Quinn



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[japari]

Quite convenient.
I better study the interface a bit more.
thank u

pp

Quoting Luigi Ballabio <[hidden email]>:

> On Thu, 2008-05-22 at 12:47 +0200, [hidden email] wrote:
> > The way it is right now we have no option to tell the interpolator to
> > extrapolate the default probabilities outside the engine level without
> rewriting
> > a specific new engine. Whats the reason for this?
>
> We do. For any curve (yield, default probability, etc.) you can call
>
> curve->enableExtrapolation();
>
> to, well, enable extrapolation :)
>
> Luigi
>
>
> --
>
> The rule on staying alive as a forecaster is to give 'em a number or
> give 'em a date, but never give 'em both at once.
> -- Jane Bryant Quinn
>
>
>

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