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Re: Error using the piecewiseYieldCurve class with template arguments PiecewiseYieldCurve<ForwardRate, LogLinear>

Posted by Bojan Nikolic on Aug 16, 2010; 2:44pm
URL: http://quantlib.414.s1.nabble.com/Error-using-the-piecewiseYieldCurve-class-with-template-arguments-PiecewiseYieldCurve-ForwardRate-Lo-tp114p115.html


The reason is that the current implementation of the LogLinear
interpolator can not do the integral of the function being interpolated
(the "primitive" function).

The Discount curve builder does not require this function, so it works
fine. The ForwardRate rate does require the "primitive" function so it
fails. If you switch to linear interpolation it will however work, i.e.:

   PiecewiseYieldCurve<ForwardRate,Linear>
     depoFutSwapTermStructure(settlementDate,
                              depoFutSwapInstruments,
                              termStructureDayCounter,
                              tolerance);

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

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