Re: enableExtrapolation error?

[Luigi Ballabio]

On Wed, Nov 23, 2011 at 12:11 AM, barba dos <[hidden email]> wrote:
> Hi all, I am looking in the file cashflows.cpp. the piece of code is the
> ZSpreadFinder constructor.
>
> It is about the piece of code that says:
> curve_(Handle<YieldTermStructure>(discountCurve)

> For the discount curve that is being used, extrapolation is enabled [...] However [...]
> the extrapolation property is not copied correctly.

Ok, I see.  The above is not all; the complete call is

curve_(Handle<YieldTermStructure>(discountCurve),
          Handle<Quote>(zSpread_), comp, freq, dc),

curve_ is not a copy of discountCurve, it is a spreaded curve that
contains discountCurve.
The extrapolation property of curve_ is never set, so it defaults to
false.  Try adding

curve_->enableExtrapolation(discountCurve->allowsExtrapolation());

and see if that works for you.

Later,
    Luigi

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[Luigi Ballabio]

Ok, I've made the change on the 1.2 branch.

Thanks for the heads-up.

Luigi

On Thu, Dec 15, 2011 at 1:27 PM, Luigi Ballabio
<[hidden email]> wrote:

> On Wed, Nov 23, 2011 at 12:11 AM, barba dos <[hidden email]> wrote:
>> Hi all, I am looking in the file cashflows.cpp. the piece of code is the
>> ZSpreadFinder constructor.
>>
>> It is about the piece of code that says:
>> curve_(Handle<YieldTermStructure>(discountCurve)
>
>> For the discount curve that is being used, extrapolation is enabled [...] However [...]
>> the extrapolation property is not copied correctly.
>
> Ok, I see.  The above is not all; the complete call is
>
> curve_(Handle<YieldTermStructure>(discountCurve),
>          Handle<Quote>(zSpread_), comp, freq, dc),
>
> curve_ is not a copy of discountCurve, it is a spreaded curve that
> contains discountCurve.
> The extrapolation property of curve_ is never set, so it defaults to
> false.  Try adding
>
> curve_->enableExtrapolation(discountCurve->allowsExtrapolation());
>
> and see if that works for you.
>
> Later,
>    Luigi

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