Peter Caspers
Peter Caspers
I like the pricer approach a lot. Would you pass a tailored rate curve to that pricer for rate projection, which I guess would be derived from the relevant RFR's...
just FYI - we ended up with using a wrapper index class https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/indexes/fallbackiborindex.hpp
Yes I dramatized the situation a bit to get some attention I guess. Of course, the Thursday fixing is published on Friday... There are indeed different trade features to ensure...
this stale bot is overly nervous...
Yeah I guess whether it's worth providing the day counter depends on what the standard practice is to calculate the z-spread (which I am not sure about yet). If it's...
Hi, great project, I am running the irony mode now for a while and find it very useful. The only real issue I see is that over time the memory...
@mdelmedico @tomwhoiscontrary not sure if this is related to what you discuss above https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3640517 In any case it might be worth checking out these extensions which allow to use the...
@tomwhoiscontrary that's a good summary! The interpolation in SimpleZeroYield is obviously not important for the method as such, it was just added to mimic what Bloomberg is doing.
1.32 introduced lazy cashflows, it might be related to that change - I'll try to reproduce using your test code When you say newer compiler versions cause performance issues, do...
Ok interesting. Keep us updated on that topic.