Re: AW: Some issues
Posted by Luigi Ballabio-2 on Jan 08, 2003; 8:56am
URL: http://quantlib.414.s1.nabble.com/Some-issues-tp10189p10193.html
At 05:13 PM 1/8/03 +0100, Jens Thiel wrote:
>Regarding the term structures discussed below, I really can't see any
>difference in the resulting behaviour; but maybe that is by design as long
>as we have a constant spread. I'm not sure about it.
There's no difference in case of constant spread. The zero yield at time t
is the average of the instantaneous forward between 0 and t. If a constant
spread is added to the latter, it will be factored out and appear as a
zero yield spread. The same happens the other way around. Maybe I'm not
getting what the actual question is?
>Another thing: The PieceWiseFlatForward test (or better: the equivalent .NET
>test) fails on holidays (because it will lookup the fixing history for the
>preceding business day); I guess the same will be true for the SWIG tests.
No, the SWIG tests pass just fine. Are you sure you implemented the lookup
logic as it implemented in C? In short:
- if the fixing date is less than today's date, look the fixing up and
throw if it's not there;
- if the fixing date equals today's date, try and look the fixing up, but
if it's not there don't throw and forecast instead;
- if the fixing date is greater than today's date, forecast.
Another possibility is that you're bootstrapping the curve on a deposit
with, say, 2 days of fixing and just 1 of settlement. This would put you
before today's date.
Later,
Luigi