I've been working some more with the term structure objects and created a
simple test program to create a curve using par coupon bonds. The problem
I see is when I ask for the zeroRate back for the dates I put in I don't
recover the 30 year rate properly. Am I doing something wrong setting up
and using the curve? I've attached my simple test program.
(See attached file: YieldcurveTester.cpp)
Here is the output it produces
[zero] 02/01/2007 :: 4.939919 % 30/360 (Bond Basis) semiannual compounding
[zero] 02/01/2009 :: 4.939919 % 30/360 (Bond Basis) semiannual compounding
[zero] 02/01/2012 :: 4.792989 % 30/360 (Bond Basis) semiannual compounding
[zero] 08/01/2014 :: 4.802878 % 30/360 (Bond Basis) semiannual compounding
[zero] 02/01/2017 :: 4.807822 % 30/360 (Bond Basis) semiannual compounding
[zero] 02/01/2037 :: 4.943125 % 30/360 (Bond Basis) semiannual compounding
All of the rates are what I expect except the last one. The 30 year bond I
used to create the curve has a 4.91 yield so I expected to get 4.91 back
for the 30 year.
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