Posted by
Luigi Ballabio on
Apr 12, 2011; 8:09am
URL: http://quantlib.414.s1.nabble.com/Perpetual-Bond-tp8497p8500.html
On Tue, 2011-04-12 at 09:47 +0200, Ferdinando Ametrano wrote:
> On Fri, Apr 8, 2011 at 5:29 PM, Luigi Ballabio <
[hidden email]> wrote:
> > As for extrapolation, the term structure just keeps going after the
> > maximum date with the same formula it was using before it. If, say, the
> > forward rate was piecewise constant, it will be constant afterwards. If
> > you were using a linear interpolation or a spline, it will keep doing
> > that (which will eventually lead you to have rates too high, or in the
> > negative.)
>
> I respectfully disagree: yield term structures always extrapolate
> using constant instantaneous forward rate, not using the specified
> interpolation algorithm
I see, you've added this to the several interpolated curves.
How comes the logic is not in the base YieldTermStructure class?
Luigi
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fix, n.,v.
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