[R-SIG-Finance] Rquantlib discount curve

Cedrick Johnson cedrick at cedrickjohnson.com
Mon May 25 17:38:30 CEST 2009

That's not *entirely* true, there are some corporates out there...

Take a look at GS Cap II (5.793 cpn), maturing 12/31/2099
KO (7 cpn) 5/15/2098
Citi (6 7/8 cpn) 2/15/2098
just to name a few...

As to the original poster's question, that I do not have the answer to..


Brian G. Peterson wrote:
> Martin.Prins at ingim.com wrote:
>> Is it somehow possible to have the function "DiscountCurve" accept the
>> 50-year and 100-year point as well?
> As there are no 50 and 100 year bonds, doesn't this seem like 
> worthless and even perhaps dangerous extrapolation on not enough data?
> Regards,
>  - Brian

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