Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/YieldTermStructureHandle-via-SWIG-tp14726p14740.html
The first spot is used to interpolate between the reference date and
the first following date. Setting it equal to the first actual value
gives you flat rates over that range.
Luigi
On Fri, Dec 13, 2013 at 6:16 PM, smazzucca <
[hidden email]> wrote:
> Hey Luigi,
>
> This is how I build the YieldTermStructure:
> YieldTermStructure yieldTerm = new ZeroCurve(dateVector, yields, DayCounter,
> _Calendar);
>
> I was getting "negative time (-0.0246575) given" and then figured out that I
> have to add the evaluation date to the dateVector. So that part is good now.
>
> (
http://implementingquantlib.blogspot.com/2013/09/chapter-3-part-2-of-n-yield-term.html> "The implementation forwards to the parentZeroYieldStructure class the first
> of the passed dates, assumed to be the reference date for the curve, and the
> day counter; the other arguments are stored in the corresponding data
> members.")
>
> But what should I have in the corresponding first spot of the yield vector ?
> I would assume that number is irrelevant and ignored, but as I change it,
> the results change.
>
> Thanks,
> Simon
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/YieldTermStructureHandle-via-SWIG-tp14726p14735.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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