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Curve calibration: support for a spread curve definition #213

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jonathansenior opened this issue May 18, 2015 · 0 comments
Open

Curve calibration: support for a spread curve definition #213

jonathansenior opened this issue May 18, 2015 · 0 comments

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@jonathansenior
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Defined simply as a curve that references two other curves. The value on the calibrated spread curve at any given tenor is the sum of the values on the other two curves at that tenor.

The two other curves may themselves be spread curves, or a more primitive type of curve.

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