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eddelbuettel / rquantlib

R interface to the QuantLib library
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Discount Curve Tenor Limits #46

Closed tleitch closed 8 years ago

tleitch commented 8 years ago

Discount curve is limited to 30 years so either extrapolation option is needed, or more tenors are required to value longer dated swaps and other instruments.

tleitch commented 8 years ago

Addressed in merge #48