question about function of YieldTermStructure::discount(Time t, bool extrapolate)

[Nj_China_2016]

in YieldTermStructure.cpp file,there exists a function of discount,i cant figure out this function to do what,code: jumpEffect *= thisJump; means for what?can sb help me ?thanks a lot

[Luigi Ballabio]

Hello,

    that part of code accounts for turn-of-year effects in case you passed them to the term structure. For an explanation of the effect, see for instance "One good turn" by Burghardt and Kirshner or the paper by Ametrano and Bianchetti (http://ssrn.com/abstract=2219548).

If you didn't explicitly pass any jump to the curve constructor (that is, the "jumps" and "jumpDates" arguments) you don't need to worry about it.

Luigi

On Wed, Apr 6, 2016 at 11:35 AM Nj_China_2016 <[hidden email]> wrote:

in YieldTermStructure.cpp file,there exists a function of discount,i cant figure out this function to do what,code: jumpEffect *= thisJump; means for what?can sb help me ?thanks a lot

---

View this message in context: question about function of YieldTermStructure::discount(Time t, bool extrapolate)
Sent from the quantlib-users mailing list archive at Nabble.com.
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
Find and fix application performance issues faster with Applications Manager
Applications Manager provides deep performance insights into multiple tiers of
your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
https://ad.doubleclick.net/ddm/clk/302982198;130105516;z
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users