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3 votes

swap curve calibration with interpolation using newton-like method

You cannot solve for 4 degrees of freedom with two fixed parameters. That is an underspecified curve and it will (even though solvable, with infinite solutions) lead to chaotic behaviour within your ...
Attack68's user avatar
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2 votes

Combining term structure types in Quantlib

Currently there's no way to combine an interpolation on forwards with an interpolation on discounts. There is a MixedInterpolation class in the underlying C++ ...
Luigi Ballabio's user avatar

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