ZeroSpreadedTermStructure

[Roland Lichters-2]

Hi,
the zero spreaded termstructure takes currently a single spread quote and applies a parallel shift to the zero curve.
I'd like to propose adding a slightly generalized version (I called it "ZeroSpreadTermStructure") to the library that takes a vector of spread quotes and interpolates linearly between them, see the attached file.
Please let me know whether there is any interest.
Thanks,
Roland

[Luigi Ballabio]

On 07/31/2006 11:02:40 AM, Roland Lichters wrote:
> I'd like to propose adding a slightly generalized version (I called  
> it "ZeroSpreadTermStructure") to the library that takes a vector of  
> spread quotes and interpolates linearly between them, see the  
> attached file.

Roland,
        thanks for the patch---yes, I'm interested in the feature. I'll  
have a look at it when I come back from vacation (2 weeks starting  
tomorrow.)

Later,
        Luigi


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There are two ways to write error-free programs; only the third one  
works.
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