[Quantlib-dev] problem when you try to extrapolate a ZeroSpreadedTermStructure

[Adjriou B. <bad...@ya...>]

Hi,
 
there is a problem when I want to extrapolate a yield at one date which is not in the spreaded curve. The problem comes from :
 
inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {
 // return originalCurve_->zeroYield(t, true) + spread_->value();
        return originalCurve_->zeroRate(t, Continuous, NoFrequency) +
            spread_->value();
}
 
It should be used with a boolean extrapolate :

        return originalCurve_->zeroRate(t, Continuous, NoFrequency,extrapolate) +
            spread_->value();
 
It's missing a parameter in the zeroYieldImpl function.
 
regards
 

		
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