decreasing discount factors

Posted by Ferdinando M. Ametrano-2 on Nov 07, 2002; 6:42am
URL: http://quantlib.414.s1.nabble.com/decreasing-discount-factors-tp10170.html

Hi Marco

in your commit described below you are removing a worthwhile check that
helped me detect many problems in my applications.

Maybe I'm missing something but I can't see why we shouldn't require
decreasing discount factors. Decreasing discounts imply non-negative
interest rates, which should be a safe assumption. Are you really dealing
with negative interest rates?
If this is the case I'm afraid discountcurve is not the only place where we
are assuming non-negative interest rates ....

ciao -- Nando

>From:   Marco Marchioro <[hidden email]>
>Subject: [Quantlib-cvs] CVS: QuantLib/ql/TermStructures
>discountcurve.cpp,1.13,1.14
>
>Update of /cvsroot/quantlib/QuantLib/ql/TermStructures
>In directory usw-pr-cvs1:/tmp/cvs-serv31653
>
>Modified Files:
>         discountcurve.cpp
>Log Message:
>relaxed requirement on decreasing discounts
>
>Index: discountcurve.cpp
>===================================================================
>RCS file: /cvsroot/quantlib/QuantLib/ql/TermStructures/discountcurve.cpp,v
>retrieving revision 1.13
>retrieving revision 1.14
>diff -C2 -r1.13 -r1.14
>*** discountcurve.cpp   29 Oct 2002 14:14:18 -0000      1.13
>--- discountcurve.cpp   7 Nov 2002 13:34:20 -0000       1.14
>***************
>*** 53,57 ****
>                   QL_REQUIRE(dates_[i]>dates_[i-1],
>                      "DiscountCurve::DiscountCurve : invalid date");
>!                 QL_REQUIRE(discounts_[i]<=discounts_[i-1],
>                      "DiscountCurve::DiscountCurve : invalid discount");
>                   times_[i] = dayCounter_.yearFraction(dates_[0],
>--- 53,57 ----
>                   QL_REQUIRE(dates_[i]>dates_[i-1],
>                      "DiscountCurve::DiscountCurve : invalid date");
>!                 QL_REQUIRE(discounts_[i] > 0.0,
>                      "DiscountCurve::DiscountCurve : invalid discount");
>                   times_[i] = dayCounter_.yearFraction(dates_[0],
>
>
>
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