Yield Curve

[John Maiden]

Ok, this is driving me crazy. I'm sure there is an easy way to do it, but I
can't for the life of me find it. I have a collection of US treasury zero rates
and dates. I want to extrapolate those values to find the rates in between the
given dates, and I want the rates unchanged (no compounding). Which function do
I use? Can someone direct me to some simple code that might help me out? Thanks
in advance.


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[jing lu]

Hello John,

 

If you have spot  zero rates use InterpolatedZeroCurve class to build your curve

just like the following. I think the constructor assumes continuous compounding

for the input zero rates as the outputs  confirm that. BTW all rates must have a compounding measure to be valid Hope this helps.

 

std::vector< Date > dates;
          dates.push_back(todaysDate);
    dates.push_back(todaysDate+1*Years);
          dates.push_back(todaysDate+2*Years);
    dates.push_back(todaysDate+3*Years);
    dates.push_back(todaysDate+4*Years);
    dates.push_back(todaysDate+5*Years);

   
          std::vector< Rate> rates;
          rates.push_back(0);
    rates.push_back(0.03);
    rates.push_back(0.04);
    rates.push_back(0.046);
    rates.push_back(0.05);
    rates.push_back(0.053);

           
    boost::shared_ptr<YieldTermStructure>izc(new InterpolatedZeroCurve<Linear>(dates,rates,termStructureDayCounter));
          std::cout <<"refernce date is:"<<izc->referenceDate()<<"\n";
          testDate1 = izc->referenceDate()+ 1*Years;
          rfdc  = izc->dayCounter();
          zero1 = izc->zeroRate(testDate1, rfdc,Continuous, NoFrequency);
          std::cout <<"1-year zero rate now:"<<zero1<< std::endl;
 
    testDate2 = izc->referenceDate()+ 2*Years;
          zero2 = izc->zeroRate(testDate2, rfdc,Continuous, NoFrequency);
          std::cout <<"2-year zero rate now:"<<zero2<< std::endl;

Jing
John Maiden <[hidden email]> wrote:

Ok, this is driving me crazy. I'm sure there is an easy way to do it, but I
can't for the life of me find it. I have a collection of US treasury zero rates
and dates. I want to extrapolate those values to find the rates in between the
given dates, and I want the rates unchanged (no compounding). Which function do
I use? Can someone direct me to some simple code that might help me out? Thanks
in advance.


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