Regarding FRA concept

[shail]

Hi

 

Earlier i was using Quantlib 0.9.0

I prepared a wrapper code for FRA(exactly in Example) in which in i needed atleast two elements in fraInstruments vector i.e.

 

std::vector<boost::shared_ptr<RateHelper> > fraInstruments;

fraInstruments.push_back(fra1x4);

fraInstruments.push_back(fra2x5);

 

By providing one element in vector,it's shows an exception

" not enough instruments given: 1"

 

But in case of Quantlib 0.9.7 eventhough if there is a single value in fraInstruments vector,i get the output.

 

Please can any one help me in this regard that what modification or approach is taken in FRA example.

 

Thanks & Regards

 

Shailesh Kumar

      

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[Luigi Ballabio]

On Thu, 2008-12-04 at 22:54 +0530, shailesh kumar wrote:
> Earlier i was using Quantlib 0.9.0
> I prepared a wrapper code for FRA(exactly in Example) in which in i
> needed atleast two elements in fraInstruments vector i.e.
>  
> But in case of Quantlib 0.9.7 eventhough if there is a single value in
> fraInstruments vector,i get the output.
>  
> Please can any one help me in this regard that what modification or
> approach is taken in FRA example.

The FRA example didn't change, but the bootstrap code did. The
requirement of having two instruments was too strict for most
interpolations. We relaxed it in 0.9.7.

Luigi



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