13 May 17:34
CDS example
From: Luca Billi <luca.billi <at> gmail.com>
Subject: CDS example
Newsgroups: gmane.comp.finance.quantlib.devel
Date: 2008-05-13 15:34:49 GMT
Subject: CDS example
Newsgroups: gmane.comp.finance.quantlib.devel
Date: 2008-05-13 15:34:49 GMT
Hi all, I'm looking at the CDS example in the repository and I see that the bootstraping scheme doesn't work if I use only one calibrating instrument. The exception thrown says it needs at least 2 instruments. Is this the expected behavior? The error is caused by the BackwardFlat interpolation class requiring 2 points. Technically, for flat interpolation one point might be enough. Thanks, Luca ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
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