Posted by
Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/CDS-example-tp11892p11895.html
On Wed, May 14, 2008 at 12:17 PM, Luigi Ballabio
<
[hidden email]> wrote:
> Since we have an additional point for today's date (and since this
> also holds for all other bootstrapped curves)
mmm... I'm not so sure this is always the case. E.g. if you model the
YieldTermStructure as interpolated zero rates, the zero rate at time
t=0 is not unambiguously defined. For the time being the code defaults
to a given value, but this is not really needed and as a matter of
fact is often problematic, as it can break bootstrapping when using
global interpolation.
> I changed the check in
> IterativeBootstrap so that it requires a number of instruments equal to
> the number of required points minus one.
why don't we skip this early check altogether and adopt the lazy
approach of delegating the check to the interpolation class?
ciao -- Nando
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