Re: Credit probas ahead of mkt tenors

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Credit-probas-ahead-of-mkt-tenors-tp11867p11868.html

On Thu, 2008-05-22 at 12:47 +0200, [hidden email] wrote:
> 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?

We do. For any curve (yield, default probability, etc.) you can call

curve->enableExtrapolation();

to, well, enable extrapolation :)

Luigi


--

The rule on staying alive as a forecaster is to give 'em a number or
give 'em a date, but never give 'em both at once.
-- Jane Bryant Quinn



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