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interpolation doesn't accept different units #22

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wilsonfreitas opened this issue May 29, 2022 · 1 comment
Open

interpolation doesn't accept different units #22

wilsonfreitas opened this issue May 29, 2022 · 1 comment

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@wilsonfreitas
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The terms in a term structure usually have the same units.
So, once you have a term structure defined with terms in days you can only interpolate it using terms in days.
The [[ operator could be adapted to handled that and accept terms in any units.

@wilsonfreitas
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With this commit ea6263d the SpotRateCurve works with terms in days, by default.
It accepts terms in any units in its constructor, but internally the terms are converted to days units.

With that in mind, the operator [[ should receive the term and convert it to days.

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