Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7313.html
On Tue, 2009-03-03 at 13:36 -0500, Guowen Han wrote:
> with currently design, for each iteration for OAS finding, a new
> curve has to be initialized and is not efficient.
That's true for the current implementation, but that's not necessary.
Now the function creates a new spread quote and a new spreaded curve at
each iteration, but it wouldn't be hard to change it so that it creates
the quote and the spreaded curve just once and it just changes the quote
value at each iteration.
Luigi
--
If I do not want others to quote me, I do not speak.
-- Phil Wayne
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