Hi all
Luigi wrote:
>>I would also like to introduce another change: I would require the user
>>to provide a discount grid starting with the first discount equal to
>>1.00, so that we can assume that the first date is the settlement date. I
>>think this would be safer.
>I had the same thought when I saw the class, but then I realized that
>log-linear interpolation already guarantees that the discount at time 0.0
>is always 1.0.
the main point here is to force the user to declare at which date he wants
t=0.0, to avoid an implied t=0.0 that doesn't match the input tuple
{todaysDate, calendar, settlementDays)
>>PS2 I would also remove settlementDays() from the TermStructure
>>interface. It is not used anywhere in the library and it is misleading
>>(e.g. it has no relation with the settlement days of the instruments used
>>to bootstrap the curve).
>>Anyone against this change?
>Not against this change as such. However, either one passes today's date
>and a number of settlement days or today's date and the settlement date.
>No, wait a moment. Passing explicitly both today's date and the settlement
>date could (emphasis on "could") remove the need for passing a calendar to
>the curve.
>It could also clear up the code in ImpliedTermStructure. Hmm...
>I say go for it.
OK
ciao -- Nando
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