Starting from a yield curve ycHandle (a YieldTermStructureHandle object), I would like to add a constant spread using the ZeroSpreadedTermStructure method. I did the following (working in Python with QuantLib 1.8):
shift = 0
spread = ql.SimpleQuote(shift)
shiftedCurve = ql.ZeroSpreadedTermStructure(zcHandle,ql.QuoteHandle(spread))
def plotCurve(ycHandle, maxTen=25, lab=''):
# function taking a yield curve handle and plotting it
call = ql.TARGET()
tv = [] # tenor vector
rv = [] # rate vector
for _ in range(12*1,12*maxTen):
dt = call.advance(ql.Date.todaysDate(), 2, ql.Days) + 30*_
tv.append(dc.yearFraction(today,dt))
rv.append(ycHandle.zeroRate(dt,dc,ql.Compounded,ql.Annual).rate())
plt.plot(tv,rv, label=lab)
plt.figure()
plotCurve(ycHandle)
plotCurve(shiftedCurve)
Unfortunately the two curves do not overlap although I have shifted ycHandle by 0. I suspect this might be linked to the compounding, have tried to change all to ql.Annual or ql.Continuous but unfortunately was unsuccessful.
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