From: Luigi B. <lui...@gm...> - 2011-12-20 17:31:21
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Ok, I've made the change on the 1.2 branch. Thanks for the heads-up. Luigi On Thu, Dec 15, 2011 at 1:27 PM, Luigi Ballabio <lui...@gm...> wrote: > On Wed, Nov 23, 2011 at 12:11 AM, barba dos <bar...@ho...> wrote: >> Hi all, I am looking in the file cashflows.cpp. the piece of code is the >> ZSpreadFinder constructor. >> >> It is about the piece of code that says: >> curve_(Handle<YieldTermStructure>(discountCurve) > >> For the discount curve that is being used, extrapolation is enabled [...] However [...] >> the extrapolation property is not copied correctly. > > Ok, I see. The above is not all; the complete call is > > curve_(Handle<YieldTermStructure>(discountCurve), > Handle<Quote>(zSpread_), comp, freq, dc), > > curve_ is not a copy of discountCurve, it is a spreaded curve that > contains discountCurve. > The extrapolation property of curve_ is never set, so it defaults to > false. Try adding > > curve_->enableExtrapolation(discountCurve->allowsExtrapolation()); > > and see if that works for you. > > Later, > Luigi |