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.
Any help in trying to understand this effect would be appreciated.
Thanks,
Vlad
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