Hi Guys,
I hope someone can help. I need to convert a NACS interest rate to its equivalent NACC rate. Once this is done, I need to convert this new rate to a Simple Rate.
The overall purpose of this, is that given a 30y real NACS curve, I need to extrapolate it 120y. In order to do this, I am creating depo instruments from this curve and using the simple rates from the above conversion. Once the depos are created (using the Simple Rate), get the stripped zero curve. My expectation is that the all values in the new curve up to the 30y mark should be equivalent to the original curve.
Right now I have the following (C#):
InterestRate orig = new InterestRate(oldVal.Y_Value, new Actual365Fixed(), Compounding.Continuous, Frequency.Semiannual);
InterestRate equivalentDepoRate = orig.equivalentRate(JibarIndex.dayCounter(), Compounding.Simple, Frequency.Once, Today, maturityDate);
This is some of the inputs and expected outputs
Valuation Date: 11-Jan-2011
Date | NACS Rate(oldVal.Y_Value) | Expected Simple Rate | Intermediate NACC Rate |
2012/01/04 | 0.01263974488495820 | 0.0126796856726474 | 0.0125999715841030000 |
2013/01/04 | 0.01211817614491960 | 0.0122289625578875 | 0.0120816112223699000 |
This is some of the inputs and actual outputs
Date | Orig NACS Rate | Actual Simple Rate |
2012/01/04 | 0.01263974488495820 | 0.0127196766291067 |
2013/01/04 | 0.01211817614491960 | 0.0122494398776877 |
Regards,
--
Ahmad Mahomed
------------------------------------------------------------------------------
The ultimate all-in-one performance toolkit: Intel(R) Parallel Studio XE:
Pinpoint memory and threading errors before they happen.
Find and fix more than 250 security defects in the development cycle.
Locate bottlenecks in serial and parallel code that limit performance.
http://p.sf.net/sfu/intel-dev2devfeb_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
