Re: History construction

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/History-construction-tp2517p2520.html

Hi Andre,

At 02:35 PM 5/8/03 +0200, Andre Louw wrote:
>I have historical rates where the weekends/non-business days are missing.

A common occurrence :)

>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?

Hmm. Well, those fixings *are* missing after all, so I'd like them to be
null as default behavior. You could add a flag (with default = false) that
causes last values to be propagated.

Bye,
         Luigi