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Incomplete Swig Interface for Bootstrapping #20

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FuggeWolf opened this issue Aug 11, 2020 · 0 comments
Open

Incomplete Swig Interface for Bootstrapping #20

FuggeWolf opened this issue Aug 11, 2020 · 0 comments

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@FuggeWolf
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While the C++ code allows for specifying inter- and extrapolation method within the bootstrapping algorithm, the swigged python code (pyvacon.analytics.YieldCurveBootstrapper. YieldCurveBootstrapper_compute) does not provide the option to configure this. The interface should be extended to avoid potential inconsistencies with subsequently defined interpolation methods for the resulting curve.

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