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Zero Curve term structure

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abdelak.adjriou

Zero Curve term structure

Xavier.Abulker

Re: Zero Curve term structure

Hello,
use the discount factor in yieldtermstructure class

DiscountFactor

discount (const Date &, bool extrapolate=false) const

Then
r= DF^(-1/T)-1 you could use QL_POW(DF,-1.0/T)-1

bye
Xavier

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31/03/2006 14:02

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Subject	[Quantlib-users] Zero Curve term structure

Hi, I would like to use the zero curve term strucuture not in continous mode (exp(-t * r)) but in discrete mode (1/(1+r)^(t)) How can I do with the zero curve class ? Regards, Adjriou Abdelak, Tél : +33 (0)1 41 02 46 70 Analyste Quantitatif HSBC HALBIS Partners Les informations contenues dans ce message sont confidentielles et peuvent constituer des informations privilegiees. Si vous n etes pas le destinataire de ce message, il vous est interdit de le copier, de le faire suivre, de le divulguer ou d en utiliser tout ou partie. Si vous avez recu ce message par erreur, merci de le supprimer de votre systeme, ainsi que toutes ses copies, et d en avertir immediatement l expediteur par message de retour. Il est impossible de garantir que les communications par messagerie electronique arrivent en temps utile, sont securisees ou denuees de toute erreur ou virus. En consequence, l expediteur n accepte aucune responsabilite du fait des erreurs ou omissions qui pourraient en resulter. --- ----------------------------------------------------- --- The information contained in this e-mail is confidential. It may also be legally privileged. If you are not the addressee you may not copy, forward, disclose or use any part of it. If you have received this message in error, please delete it and all copies from your system and notify the sender immediately by return e-mail. E-mail communications cannot be guaranteed to be timely secure, error or virus-free. The sender does not accept liability for any errors or omissions which arise as a result. ------------------------------------------------------- This SF.Net email is sponsored by xPML, a groundbreaking scripting language that extends applications into web and mobile media. Attend the live webcast and join the prime developer group breaking into this new coding territory! http://sel.as-us.falkag.net/sel?cmd=k&kid0944&bid$1720&dat1642 _______________________________________________ Quantlib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ************************************************************************* Ce message et toutes les pieces jointes (ci-apres le "message") sont confidentiels et etablis a l'intention exclusive de ses destinataires. Toute utilisation ou diffusion non autorisee est interdite. Tout message electronique est susceptible d'alteration. La FIMAT et ses filiales declinent toute responsabilite au titre de ce message s'il a ete altere, deforme ou falsifie. ******** This message and any attachments (the "message") are confidential and intended solely for the addressees. Any unauthorised use or dissemination is prohibited. E-mails are susceptible to alteration. Neither FIMAT nor any of its subsidiaries or affiliates shall be liable for the message if altered, changed or falsified.

*************************************************************************
Ce message et toutes les pieces jointes (ci-apres le "message") sont
confidentiels et etablis a l'intention exclusive de ses destinataires.
Toute utilisation ou diffusion non autorisee est interdite. 
Tout message electronique est susceptible d'alteration. 
La FIMAT et ses filiales declinent toute responsabilite 
au titre de ce message s'il a ete altere, deforme ou falsifie.
     ********
This message and any attachments (the "message") are confidential and
intended solely for the addressees.
Any unauthorised use or dissemination is prohibited. 
E-mails are susceptible to alteration.   
Neither FIMAT nor any of its subsidiaries or affiliates 
shall be liable for the message if altered, 
changed or falsified.

Luigi Ballabio

Re: Zero Curve term structure

In reply to this post by abdelak.adjriou

On 03/31/2006 02:02:26 PM, [hidden email] wrote:
> I would like to use the zero curve term strucuture not in continous
> mode (exp(-t * r)) but in discrete mode (1/(1+r)^(t))
>
> How can I do with the zero curve class ?

You mean that you have a set of discrete zero rates, and you want to
pass them to ZeroCurve and have discounts calculated accordingly, right?

I'm afraid that it cannot be done directly at this time. As a
workaround, you could use the InterestRate::equivalentRate method to
convert your discrete rates to continuous ones and use the results to
initialize the ZeroCurve.

Luigi

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