Hi,
While
working with Piecewise Yield Curve, I started seeing a discrepancy between my expected rate and a forward rate that I got back.
I narrowed the
scope down to a simple curve with Linear interpolation and Discount factor for
Traits.
I constructed two
curves: one using FutureRateHelpers and another using DepositRateHelpers. In
both cases I extracted the forward rate which I compared to expected rate,
then diffing the two. The diff shows a jump in the forward rate on the
day when a RateHelper starts and then slowly winding down until the last day
when the forward rate matches the input rate. The subsequent jumps in the rate
difference get bigger with time.
I am attaching a
spreadsheet which contains test cases that I put together in trying to
understand it.
Rate_Helper.zip -> https://docs.google.com/leaf?id=0BwNMjRmDi385ZmNmMjFlMjMtNGEzMS00OWNiLWE2OWYtZTQ2YzJhMzMxODNh&hl=en&authkey=CM_t2PcN
Any help in trying
to understand this effect would be appreciated.
Thanks,
Vlad
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