Hi Xin,
On Fri, 2008-03-07 at 06:32 -0800, gigifaye29 wrote:
> 1. I am wondering if Quantlib currently has the functionality to take a
> vector of irregular cash flows, a vector of dates on which those CFs occur,
> and a vector of zero rates obtained from interpolation and bootstrapping as
> parameters, and then calculate the present value of the CFs.
Yes. First, you'll have to use each cash-flow and the corresponding
date to create instances of the SimpleCashFlow class. You'll store the
cashflows in a vector to shared_ptr<CashFlow>. Second, you'll have to
use the zero rates to create an interpolated yield term structure. Once
you have both pieces, you can use the CashFlows::npv() function (see
<
http://quantlib.org/reference/class_quant_lib_1_1_cash_flows.html>.)
> 2. I understand Quantlib has the interpolation and curve fitting methods
> that allow us to create a curve given key rates. I managed to generate a
> zero-curve based on this. However, I am wondering if Quantlib is able to
> return me zero rates on any points on the zero-curve(those not falling
> exactly on the key dates I used as input)? For example, I used T-rates on
> Jan1,2008, Feb1,2008, Mar 1, 2008.... to build the zero-curve, but I would
> want to get zero-rates on Feb25,2008, for example.
Yes. The zero curve you obtained inherits from the YieldTermStructure
class, which defines a zeroRate method returning zero rates at any date
(see
<
http://quantlib.org/reference/class_quant_lib_1_1_yield_term_structure.html>.)
Luigi
--
Do the right thing. It will gratify some people and astonish the rest.
-- Mark Twain
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