problem when you try to extrapolate a ZeroSpreadedTermStructure

Posted by Adjriou Belak on
URL: http://quantlib.414.s1.nabble.com/problem-when-you-try-to-extrapolate-a-ZeroSpreadedTermStructure-tp10759.html

Hi,

 

there is a problem when I want to extrapolate a yield at one date which is not in the spreaded curve. The problem comes from :

 

inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {

 // return originalCurve_->zeroYield(t, true) + spread_->value();
        return originalCurve_->zeroRate(t, Continuous, NoFrequency) +
            spread_->value();

}

 

It should be used with a boolean extrapolate :

        return originalCurve_->zeroRate(t, Continuous, NoFrequency,extrapolate) +
            spread_->value();

 

It's missing a parameter in the zeroYieldImpl function.

 

regards

 

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