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Discount Curve Tenor Limits #46

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tleitch opened this issue May 12, 2016 · 1 comment
Closed

Discount Curve Tenor Limits #46

tleitch opened this issue May 12, 2016 · 1 comment

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@tleitch
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@tleitch tleitch commented May 12, 2016

Discount curve is limited to 30 years so either extrapolation option is needed, or more tenors are required to value longer dated swaps and other instruments.
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@tleitch tleitch commented May 16, 2016

Addressed in merge #48
@tleitch tleitch closed this May 16, 2016
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