frontmark/jupyter-notebooks

Incomplete Swig Interface for Bootstrapping

FuggeWolf opened this issue · 0 comments

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.