Posted by
Andre Louw-2 on
URL: http://quantlib.414.s1.nabble.com/History-construction-tp2517.html
Hi all,
I have historical rates where the weekends/non-business days are missing.
While looking at History I notice that feeding the History(dates,value)
constructor with lists with missing dates/values causes it to fill these
blanks with Null<double> values. Any objection to me propagating the last
known value into these slots (in my example the Friday's rate will then be
used as the last known rate)? I could always pass a flag to specify whether
this must be done or not?
André Louw
Decillion Limited - "Your Risk Is Our Domain"
Email:
[hidden email]
Office: +27 (11) 328 1256
Mobile: +27 (83) 414 5785
Fax: +27 (11) 442 4456
-------------------------------------------------------------------------
This e-mail is intended only for the use of the individual or entity named
above and may contain information that is confidential and privileged,
proprietary to the company and protected by law. If you are not the intended
recipient, you are hereby notified that any dissemination, distribution or
copying of this e-mail is strictly prohibited. Opinions, conclusions and
other information in this message that do not relate to the official
business of our company shall be understood as neither given nor endorsed by
it.