|
|
Hi Khalid
>Please can you let me know how you interpolate between swap maturities?
we don't need to interpolate between swap maturities
>Do you model the instantaneous forward curve?
in PiecewiseFlatForward yes. Our TermStructure framework is more general,
as it allows for term structures based on discount, zero yield, or forward
rates.
>If so, what is the functional form used and constraints applied? Thanks
Documentation excerpt:
"PiecewiseFlatForward is bootstrapped on a number of interest rate
instruments which are passed as a vector of handles to RateHelper
instances. Their maturities mark the boundaries of the flat forward segments.
The values of the forward rates for each segment are determined
sequentially starting from the earliest period to the latest.
The value for each segment is chosen so that the instrument whose maturity
marks the end of such segment is correctly repriced on the curve."
hope this helps
ciao -- Nando
|
Locked
