Teaser code

Posted by Luigi Ballabio-4 on Oct 18, 2001; 11:00am
URL: http://quantlib.414.s1.nabble.com/Teaser-code-tp1777.html


Hi all,
        latest developments on the cvs tree: the piecewise-flat-forward term
structure can now be linked to a set of rates (such as deposits' and
swaps') which trigger a new bootstrapping of the curve when any of them change.

As a teaser for what is in store for next release, I'm attaching the
swap-pricing example Nando contributed a few weeks ago, reworked so that it
uses the new curve. In particular, it is shown how changing the value of a
market rate triggers the recalculation of both the curve and a swap which
registered with the former.

Bye for now,
                Luigi