Yield term structure

[amandine vincotte]

Hello,

 

I am new to quantlib.

I have a series of discount factors for different dates for which I would like to find the yield term structure.

Could you please help me.

Thanks a lot

Amandine

 

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[marco.tarenghi]

Hi, you could try something like this:
suppose you define (according to your data):
       
        Calendar cal = ...;
        DayCounter dc = ...;
        vector<Date> dates = ...;
        vector<DiscountFactor> dfs = ...;

remember that the first date must have unit discount factor.
Define also
       
        LogLinear ln;
        Linear l;

Now suppose for example you want a term structure interpolating linearly on rate * time (equivalently loglinearly on discounts)
You have:
       
        shared_ptr<YieldTermStructure> curve(new InterpolatedDiscountCurve<LogLinear>(dates, dfs, dc, cal, ln));

Or, for linear interpolation on discount factors

        shared_ptr<YieldTermStructure> curve(new InterpolatedDiscountCurve<Linear>(dates, dfs, dc, cal, l));

Also, for linear interpolation on zero rates:

        shared_ptr<YieldTermStructure> curve(new InterpolatedZeroCurve<Linear>(dates, dfs, dc, l));

Hope this helps.
Bye,
Marco

amandine vincotte <[hidden email]>
Sent by: [hidden email]

20/08/2007 16.30

To	[hidden email]
cc
Subject	[Quantlib-users] Yield term structure

Hello,
 
I am new to quantlib.
I have a series of discount factors for different dates for which I would like to find the yield term structure.
Could you please help me.
Thanks a lot
Amandine
 

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[Luigi Ballabio]

On Mon, 2007-08-20 at 16:45 +0200, [hidden email]
wrote:

>
> Hi, you could try something like this:
> suppose you define (according to your data):
>        
>         Calendar cal = ...;
>         DayCounter dc = ...;
>         vector<Date> dates = ...;
>         vector<DiscountFactor> dfs = ...;
>
> remember that the first date must have unit discount factor.
> Define also
>        
>         LogLinear ln;
>         Linear l;
>
> Now suppose for example you want a term structure interpolating
> linearly on rate * time (equivalently loglinearly on discounts)
> You have:
>        
>         shared_ptr<YieldTermStructure> curve(new
> InterpolatedDiscountCurve<LogLinear>(dates, dfs, dc, cal, ln));
>
> Or, for linear interpolation on discount factors
>
>         shared_ptr<YieldTermStructure> curve(new
> InterpolatedDiscountCurve<Linear>(dates, dfs, dc, cal, l));
>
> Also, for linear interpolation on zero rates:
>
>         shared_ptr<YieldTermStructure> curve(new
> InterpolatedZeroCurve<Linear>(dates, dfs, dc, l));

True, but you don't need the explicit interpolation arguments. You can
avoid declaring ln and l and simply write:

        shared_ptr<YieldTermStructure> curve(new
InterpolatedDiscountCurve<LogLinear>(dates, dfs, dc, cal));

        shared_ptr<YieldTermStructure> curve(new
InterpolatedDiscountCurve<Linear>(dates, dfs, dc, cal));

        shared_ptr<YieldTermStructure> curve(new
InterpolatedZeroCurve<Linear>(dates, dfs, dc));


Luigi


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