Credit probas ahead of mkt tenors

Posted by japari on
URL: http://quantlib.414.s1.nabble.com/Credit-probas-ahead-of-mkt-tenors-tp11867.html


The way it is right now we have no option to tell the interpolator to
extrapolate the default probabilities outside the engine level without rewriting
a specific new engine. Whats the reason for this?

If I'm not missing something this applies to all engines (interpolated
discounts/zeros) but the bond curve mkt can expand up to 50Y so we are not going
to run into this problem as easily as with credit.

Extrapolation might or not make sense depending on the interpolator, shouldn't
we decide to extrapolate at the level we set the interpolator template (the
curve passed to the engine)?

pp

-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev