Re: long andpossiblyinifiniteobserver/observablenotifying loops ->erratum

[DU VIGNAUD DE VILLEFORT FRANCOIS GASAPRD PHI]

Sorry to spam your mailboxes folks, the CapStripper dependencies graph was slightly wrong in that FloatingRateCoupon is not observing the YC directly. Anyway, the problem remains the same...
François

-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of DU VIGNAUD DE VILLEFORT FRANCOIS GASAPRD PHI
Sent: martedì 17 aprile 2007 15.42
To: [hidden email]
Subject: Re: [Quantlib-dev] long andpossiblyinifiniteobserver/observablenotifying loops



Hi all,

Sorry to insist a little more on the market data dependencies removal. (Since the next release won't be backward compatible it is now or never!).
I would like to draw your attention on another shortcomings of the current indexes design. The YC bootstraping procedure needs swaps which need indexes which in turn refer to a fake YC. IMO this is the kind of hack which might cause nasty bugs or mislead users at least.

Regards,
François

PS: One might argue that precising the YC at index level allows to distinguish between forward and discounting YC. Even if it is a nice feature (on purpose ?) I think that it could also be allowed if YC are known by pricing engines only.

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