Re: Error when using a Cubic interpolator for PiecewiseYieldCurve

Posted by MonkeyMan-3 on
URL: http://quantlib.414.s1.nabble.com/Error-when-using-a-Cubic-interpolator-for-PiecewiseYieldCurve-tp7607p7608.html

Thanks for the advice. That seems to work for me for some test dates. Here is
the explicit call I used to create the MonotonicLogCubicNaturalSpline for anyone
else following this:

        //MonotonicLogCubicNaturalSpline
        LogCubic mlcns = LogCubic(
                                  CubicInterpolation::Spline,
                                  true,
                                  CubicInterpolation::SecondDerivative,
                                  0,
                                  CubicInterpolation::SecondDerivative,
                                  0)  ;

        boost::shared_ptr<YieldTermStructure> termStructure(
             new PiecewiseYieldCurve<Discount,LogCubic>(
                                       settlementDate,
                                       depoFutSwapInstruments,
                                       termStructureDayCounter,
                                       tolerance,
                                       mlcns));


Also, apologies for the multiple posts before. Didn't think it went through...

Monkey


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