Rquantlib discount curve
That's not *entirely* true, there are some corporates out there... Take a look at GS Cap II (5.793 cpn), maturing 12/31/2099 KO (7 cpn) 5/15/2098 Citi (6 7/8 cpn) 2/15/2098 just to name a few... As to the original poster's question, that I do not have the answer to.. -c
Brian G. Peterson wrote:
Martin.Prins at ingim.com wrote:
Is it somehow possible to have the function "DiscountCurve" accept the 50-year and 100-year point as well?
As there are no 50 and 100 year bonds, doesn't this seem like worthless and even perhaps dangerous extrapolation on not enough data? Regards, - Brian