Re: quantlib-Bugs-1857551 PiecewiseYieldCurve

[Roland Lichters-2]

Hi Luigi,

to fix the bug that Nathan and John have found on 24/12, I think we should set the term structure reference date for the BMA curve  to today's date rather than settlement date. See the attached test-suite/piecewiseyieldcurve.cpp and my comments therein for more details.

I have also attached a small patch for ratehelpers.cpp to fix another problem that just appeared on 21/12 (a small discrepancy in the BMA consistency check).

Please let me know what you think.

Best regards,
Roland




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[Luigi Ballabio]

On Wed, 2008-01-02 at 10:24 +0000, Roland Lichters wrote:
> I have also attached a small patch for ratehelpers.cpp to fix another
> problem that just appeared on 21/12 (a small discrepancy in the BMA
> consistency check).

Applied, thanks.

Luigi


--

Skinner's Constant (or Flannagan's Finagling Factor):
That quantity which, when multiplied by, divided by, added to,
or subtracted from the answer you got, gives you the answer you
should have gotten.



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