Re: DiscountCurve

Posted by Luigi Ballabio-4 on Apr 24, 2002; 1:36pm
URL: http://quantlib.414.s1.nabble.com/DiscountCurve-tp10053p10056.html

Hi all,

At 6:56 PM +0200 4/24/02, Ferdinando Ametrano wrote:
>In TermStructure zero and forward rates are assumed to be continuous
>compounded rates: this is probably an error we did in the original
>design, but unless we fix it everywhere this is the way to go.

I agree that the short-time goal is consistency with the present design.
However, "everywhere" is just PiecewiseFlatForward and the formulas
in DiscountCurve and such. I think it's still open for
discussion---it's release 0.3.0, not 3.0. This was the point of the
mail I sent this morning: I wanted the people on the list to discuss
the thing.
Also, I think that the discussion is only on forward rates: as for
zero yield rates, I think that zeroYield(exerciseDate) must return
what it does right now for Black-Scholes to work, mustn't it? Or do
you want to introduce another method called average() or something?


>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.


>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.

Bye,
        Luigi

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