Re: How to deal with missing index fixings?

Posted by Ferdinando Ametrano-4 on
URL: http://quantlib.414.s1.nabble.com/How-to-deal-with-missing-index-fixings-tp6936p6939.html

On Wed, Dec 17, 2008 at 3:42 PM, Luigi Ballabio
<[hidden email]> wrote:
> 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.

the same approach is adopted in the QLXL framework, which has been
under development in the last couple years and will be released
probably next year.

ciao -- Nando

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