Hi Luis,
>1. I've setup an XL sheet that creates a Term Structure using LogLinear
>interpolation to price a set of Vanilla Swaps. I am curious if there are
>any other setups I should be using to do this.
If your swap are really plain vanilla ones (no CMS rates, or optionality involved) a term structure should be enough.
>Is it possible to price a swap using one of the Short Rate models?
Sure but there is no point if they are plain vanilla ones ( you would get the same results for much more pain)
>Are there other YieldTermStructure implementations that you guys use which >are not readily visible in the example spreadsheets?
All working set up are displayed in the spreadsheets.
>2. When using PieceWiseYieldCurve to generage a series of 3m forward rates,
>the resulting plot of the rates is extremely choppy. At a glance it seems
>as if the choppiness appears on the dates used for each swap rate. How can
>one generate a smooth forward curve?
As a matter of fact we are currently working on this problem. Indeed it should be possible to use cubic splines to improve the forward curve smoothness. However if you want to take advantage of these improvements you should use the SVN snapshot directly or wait for the next release.
Hope this help,
François
-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
