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Discount Curves & Forward Rates

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Yuan Zhou

Discount Curves & Forward Rates

Dear Sir,

I am a new user of Quantlib, and would like to know whence I constructed a yield curve with qlPiecewiseYieldCurve function, is there a way to output the corresponding discount factors (& forward rates) for any given schedule?

Thank you very much.

--
Yuan Zhou
Director
Riverside Risk Advisors LLC

p 212-729-0936

c 646-283-1478

469 Seventh Avenue, Suite 1302

New York, NY 10018
www.riversideadvisors.com

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Ferdinando M. Ametrano-3

Re: Discount Curves & Forward Rates

On Thu, Nov 4, 2010 at 3:55 PM, Yuan Zhou <[hidden email]> wrote:

I am a new user of Quantlib, and would like to know whence I constructed a yield curve with qlPiecewiseYieldCurve function, is there a way to output the corresponding discount factors (& forward rates) for any given schedule?

sorry there is not such a way, at least not an easy one.

ciao -- Nando

Luigi Ballabio

Re: Discount Curves & Forward Rates

On Tue, 2010-11-09 at 16:20 +0100, Ferdinando Ametrano wrote:
> On Thu, Nov 4, 2010 at 3:55 PM, Yuan Zhou
> <[hidden email]> wrote:
> I am a new user of Quantlib, and would like to know whence I
> constructed a yield curve with qlPiecewiseYieldCurve function,
> is there a way to output the corresponding discount factors (&
> forward rates) for any given schedule?
>
>
> sorry there is not such a way, at least not an easy one.

You can put the schedule dates in a column of cells and ask for the
discount at each date, can't you?

Luigi

--

Lubarsky's Law of Cybernetic Entomology:
There is _always_ one more bug.

------------------------------------------------------------------------------
The Next 800 Companies to Lead America's Growth: New Video Whitepaper
David G. Thomson, author of the best-selling book "Blueprint to a
Billion" shares his insights and actions to help propel your
business during the next growth cycle. Listen Now!
http://p.sf.net/sfu/SAP-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Yuan Zhou

Re: Discount Curves & Forward Rates

I can't find the function that does that. Thx.

On Tue, Nov 9, 2010 at 11:05 AM, Luigi Ballabio <[hidden email]> wrote:

On Tue, 2010-11-09 at 16:20 +0100, Ferdinando Ametrano wrote:
> On Thu, Nov 4, 2010 at 3:55 PM, Yuan Zhou
> <[hidden email]> wrote:
> I am a new user of Quantlib, and would like to know whence I
> constructed a yield curve with qlPiecewiseYieldCurve function,
> is there a way to output the corresponding discount factors (&
> forward rates) for any given schedule?
>
>
> sorry there is not such a way, at least not an easy one.

You can put the schedule dates in a column of cells and ask for the
discount at each date, can't you?

Luigi

--

Lubarsky's Law of Cybernetic Entomology:
There is _always_ one more bug.

--
Yuan Zhou
Director
Riverside Risk Advisors LLC

p 212-729-0936

c 646-283-1478

469 Seventh Avenue, Suite 1302

New York, NY 10018
www.riversideadvisors.com

Ferdinando M. Ametrano-3

Re: Discount Curves & Forward Rates

On Tue, Nov 9, 2010 at 5:08 PM, Yuan Zhou <[hidden email]> wrote:

I can't find the function that does that.

qlYieldTSDiscount()

ciao -- Nando