Bug(?) in interpolation of zero yields

Posted by Sadruddin Rejeb-4 on
URL: http://quantlib.414.s1.nabble.com/Bug-in-interpolation-of-zero-yields-tp11172.html

Hello everyone,

In ql/TermStructures/piecewiseflatforward.cpp, shouldn't the zeroYieldImpl be
a simple linear interpolation between the zero yield nodes? In that case, I
think there is a small bug, fixed by the following patch

171c171
<                 return (zeroYields_[n-1]*tn+forwards_[n]*(t-tn))/t;
---
>                 return (zeroYields_[n-1]*tn+zeroYields_[n]*(t-tn))/t;

Am I correct?

Regards,
Sad