Posted by
Ferdinando M. Ametrano-3 on
Apr 14, 2011; 1:53pm
URL: http://quantlib.414.s1.nabble.com/Perpetual-Bond-tp8497p8501.html
On Tue, Apr 12, 2011 at 10:09 AM, Luigi Ballabio
<
[hidden email]> wrote:
> On Tue, 2011-04-12 at 09:47 +0200, Ferdinando Ametrano wrote:
>> 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?
on one hand it might be an approach not everybody is confident with
(even if I would challenge the mental sanity of any alternative :-)
on the other hand I could have not avoided specific implementations in
derived classes
anyway feel free to factor away in the base class anything you see fit
by the way, a similar approach is implemented for credit term
structures, as I remember implementing the rate term structure
extrapolation inspired by the credit example
ciao -- Nando
------------------------------------------------------------------------------
Benefiting from Server Virtualization: Beyond Initial Workload
Consolidation -- Increasing the use of server virtualization is a top
priority.Virtualization can reduce costs, simplify management, and improve
application availability and disaster protection. Learn more about boosting
the value of server virtualization.
http://p.sf.net/sfu/vmware-sfdev2dev_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users