Posted by
smazzucca on
URL: http://quantlib.414.s1.nabble.com/YieldTermStructureHandle-via-SWIG-tp14726p14751.html
Great! That works, thank you.
Simon
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Monday, December 16, 2013 10:52 AM
To: Simon Mazzucca
Cc: QuantLib users
Subject: Re: [Quantlib-users] YieldTermStructureHandle via SWIG
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:
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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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