http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7314.html
Well, I tend to agree with your comment. But that will break original design, and maintain the quote won't be a simple task.
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[hidden email]> Date: Thu, 5 Mar 2009 11:08:25 +0100
> CC:
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[hidden email]> Subject: Re: [Quantlib-users] QuantLib::Bond::cleanPriceFromZSpread
>
> 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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