[Rquantlib-devel] a query on DiscountCurve()

[michael hugman]

Dear rquantlib developers,
 
I had a brief query on
the DiscountCurve() function - was there a particular reason for
constraining the instruments to discount rates on the front end, swaps in
the long end and a quite speific subset of FRAs? In particular for many
FRA markets especially in emerging markets, 6x12 rates are much harder to
source than 9x12.
 
How easy would it be to try and
contribute a development of the package if I am constrained to working on
a windows system rather than UNIX? I understand there are challenges with
the quantlib binaries on windows?
 
My thinking was that
it should be quite straightforward to make the function more flexible in
terms of being able to specify, say, shorter dated swaps instead of
discount rates, or alternative FRA rates.
 
best
wishes,
 
Mike
Hugman
 

 

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