Réf. : pricing : should I use PiecewiseFlatForward ?

[d.djimi]

Hi Luigi,

As you told us 3 weeks ago we calculated a libor forward curve(e.g 3
months libor forward 6months, 6m3m) by using the fixing() method. In
fact we did find accurate values for the forward strictly lower than 1
year (e.g 6 months libor forward 6 months) but we faced some problems
concerning the forward higher than 1 year (e.g 6 months libor forward
14 months). We did not manage to find reliable results relative to
Bloomberg. By the way, we compared our results with Bloomberg so we
defined exactly the same discount curve.

So Luigi, did we use the good function for our task? if not what could
we do?


Later

Dieudonné

[Luigi Ballabio-2]

On 2004.08.18 11:11, [hidden email] wrote:

> Hi Luigi,
>
> As you told us 3 weeks ago we calculated a libor forward curve(e.g 3
> months libor forward 6months, 6m3m) by using the fixing() method. In
> fact we did find accurate values for the forward strictly lower than  
> 1 year (e.g 6 months libor forward 6 months) but we faced some  
> problems concerning the forward higher than 1 year (e.g 6 months  
> libor forward 14 months). We did not manage to find reliable results  
> relative to Bloomberg. By the way, we compared our results with  
> Bloomberg so we defined exactly the same discount curve.
>
> So Luigi, did we use the good function for our task? if not what  
> could we do?

Hi,
        it should be the right function. On what data did you bootstrap  
the term structure? How did you compare discounts with Bloomberg?

Later,
        Luigi