[R-SIG-Finance] Rquantlib discount curve
knguyen at cs.umb.edu
Mon May 25 17:54:33 CEST 2009
What is the error that you got? Could it be that QuantLib doesn't like
50-year and 100-year points?
On Mon, May 25, 2009 at 11:38 AM, Cedrick Johnson
<cedrick at cedrickjohnson.com> wrote:
> 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?
>> - Brian
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