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In an interpolated curve definition, we need the ability to:
at the curve level, specify a minimum period between nodes
at the node level, specify a relative node priority
When processing the curve definition prior to calibration, the builder should identify any pair of nodes that infringe the minimum period and drop the node with the lowest relative priority to resolve the infringement.
This is useful when some nodes occur at fixed dates which move relative to the valuation date (futures), and others are a fixed period from the valuation date.
The text was updated successfully, but these errors were encountered:
In an interpolated curve definition, we need the ability to:
When processing the curve definition prior to calibration, the builder should identify any pair of nodes that infringe the minimum period and drop the node with the lowest relative priority to resolve the infringement.
This is useful when some nodes occur at fixed dates which move relative to the valuation date (futures), and others are a fixed period from the valuation date.
The text was updated successfully, but these errors were encountered: