[Quantlib-dev] Credit probas ahead of mkt tenors

[<ja...@fr...>]

The way it is right now we have no option to tell the interpolator to
extrapolate the default probabilities outside the engine level without rewriting
a specific new engine. Whats the reason for this?

If I'm not missing something this applies to all engines (interpolated
discounts/zeros) but the bond curve mkt can expand up to 50Y so we are not going
to run into this problem as easily as with credit.

Extrapolation might or not make sense depending on the interpolator, shouldn't
we decide to extrapolate at the level we set the interpolator template (the
curve passed to the engine)?

pp