Posted by
MonkeyMan-3 on
Aug 03, 2010; 12:44pm
URL: http://quantlib.414.s1.nabble.com/Error-when-using-a-Cubic-interpolator-for-PiecewiseYieldCurve-tp7607p7611.html
The data the poster uses is the data in the example code.
I am struggling with the same issue. Other people have suggested looking at the
fitted bond curve example, but that is somewhat different. I just want to calc
forward swap rates. Commenting out the check seems a little dangerous. Any help
with this would be appreciated. The documentation is a little thin.
If it helps, I am messing around with different cubic methods. Here's how you
spec the interpolation with a little more control. Check the documentation here:
http://quantlib.org/reference/class_quant_lib_1_1_cubic_interpolation.htmlCubic cube(CubicInterpolation::FritschButland, true,
CubicInterpolation::Lagrange, 0,CubicInterpolation::Lagrange, 0);
boost::shared_ptr<YieldTermStructure> termStructure(
new PiecewiseYieldCurve<Discount,Cubic>(
settlementDate,
depoFutSwapInstruments,
termStructureDayCounter,
tolerance,
cube));
------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users