Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Exception-in-Bond-cleanPriceFromZSpread-tp12044p12045.html
On Tue, 2008-07-15 at 12:21 -0400, Luca Billi wrote:
> the following code throws an exception when
> bond.cleanPriceFromZSpread(...) is called.
> The issue comes from the fact that, in this example, there's no
> settlement adjustment, so the function
> ZeroSpreadedTermStructure::zeroYieldImpl(Time t) needs to be evaluated
> for t=0.
>
> I got around this issue by adding the seemingly harmless
>
> if(t==0.) return 1.;
>
> at line 86 of file ql/termstructures/yield/zeroyieldstructure.hpp
>
> Anyone has a better idea?
I'd rather fix ZeroSpreadedTermStructure::zeroYieldImpl so that it works
at t=0. Did you happen to investigate what goes wrong inside there?
Later,
Luigi
--
Just remember what ol' Jack Burton does when the earth quakes, the
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah,
Jack Burton just looks that big old storm right in the eye and says,
"Give me your best shot. I can take it."
-- Jack Burton, "Big trouble in Little China"
-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev