Re: How to deal with missing index fixings?

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/How-to-deal-with-missing-index-fixings-tp6936p6937.html

On Sun, 2008-12-07 at 11:25 -0800, snovik wrote:
> What is the best way to deal with missing index fixings?
>
> How are you dealing with such problem?

Brute force. We (as in "we at StatPro") load the whole fixing history.
This is ok for us, as we have long-running programs and the overhead of
loading everything is negligible.

Luigi


--

fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
-- the Jargon file



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