Re: Swap evaluation problem

Posted by Nathan Abbott on Aug 05, 2008; 3:52pm
URL: http://quantlib.414.s1.nabble.com/Swap-evaluation-problem-tp6406p6409.html

You are welcome. It is the least I could do.

On Tue, Aug 5, 2008 at 8:08 AM, Luigi Ballabio <[hidden email]> wrote:

On Tue, 2008-08-05 at 15:56 +0200, Luigi Ballabio wrote:
> On Mon, 2008-08-04 at 16:33 -0700, Nathan Abbott wrote:
> > When I compile and run the swap example from QuantLib 0.9.5 with boost
> > 1.34.1 or boost 1.35.0 and with Visual Studio 2005 I get the following
> > output.
> > [...]
> > The first six results are different. The 5-years, 1-year forward swap
> > with the swap rate a 4.43% results are way off.
>
> You're right--thanks for the heads-up. I've pulled 0.9.5 from the
> download page until I figure out what's happening.

Ok, I've found the problem---the log-linear interpolation fails to
setup, and the curve silently switches to linear interpolation. I'm
currently implementing a patch. I'll try and get a 0.9.6 release out in
a day or two.

Nathan, thanks again for the report.

Luigi



--

It is always the best policy to tell the truth, unless, of course,
you are an exceptionally good liar.
-- Jerome K. Jerome

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