[Quantlib-dev] Bug(?) in interpolation of zero yields

[Sadruddin R. <sa...@qu...>]

Hello everyone,

In ql/TermStructures/piecewiseflatforward.cpp, shouldn't the zeroYieldImpl be 
a simple linear interpolation between the zero yield nodes? In that case, I 
think there is a small bug, fixed by the following patch

171c171
<                 return (zeroYields_[n-1]*tn+forwards_[n]*(t-tn))/t;
---
>                 return (zeroYields_[n-1]*tn+zeroYields_[n]*(t-tn))/t;

Am I correct? 

Regards,
Sad