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What does the parRate method on the TermStructure object do? I'm creating
a
zeroCurve and the zeroRates I get back make sense. I'm not sure I
understand what the parRates method is trying to return and the values
returned don't make sense. I'm also getting back different values when I
use the overloaded versions of the parRate method. Any help would be
greatly appreciated.
Thanks, Kevin
Sample Program ...
#include "stdafx.h"
#include <iostream>
#include <cmath>
#include <ql/quantlib.hpp>
using namespace QuantLib;
int main(int argc, char* argv[])
{
Date settle = Date::todaysDate();
Date d;
DayCounter dayCounter = ActualActual();
Period p(1,Months);
Rate v = log(1.05);
std::vector<Date> dates;
std::vector<Rate> rates;
dates.push_back(settle);
rates.push_back(v);
d = settle;
d+=(12 * p);
dates.push_back(d);
rates.push_back(v);
d+=(48 * p);
dates.push_back(d);
rates.push_back(v);
ZeroCurve curve(dates,rates,dayCounter);
d = settle;
InterestRate r =
curve.zeroRate(settle,curve.dayCounter(),Compounded,Semiannual);
std::cout << "[zero] " << d << " :: " << r << std::endl;
d+=(12 * p);
r = curve.zeroRate(d,curve.dayCounter(),Compounded,Semiannual);
std::cout << "[zero] " << d << " :: " << r << std::endl;
d+=(48 * p);
r = curve.zeroRate(d,curve.dayCounter(),Compounded,Semiannual);
std::cout << "[zero] " << d << " :: " << r << std::endl;
// using tenor version
v = curve.parRate(1,settle,Semiannual);
d = settle + (12 * p);
std::cout << "[par] " << settle << " :: " << v << std::endl;
// using explicit dates version
dates.clear;
dates.push_back(settle);
d = settle + (1 * Years);
dates.push_back(d);
v = curve.parRate(dates,Semiannual);
std::cout << "[par] " << d << " :: " << v << std::endl;
return 0;
}
Output ...
[zero] 01/23/2007 :: 4.939015 % Actual/Actual (ISDA) semiannual compounding
[zero] 01/23/2008 :: 4.939015 % Actual/Actual (ISDA) semiannual compounding
[zero] 01/23/2012 :: 4.939015 % Actual/Actual (ISDA) semiannual compounding
[par] 01/23/2007 :: 0.0999831
[par] 01/23/2008 :: 0.0258175
-----------------------------------------
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