Zero curve generation

[Xavier.Abulker]

Hello,
just a quick question on the zero curve generation.

[Marco Marchioro-2]

Xavier,
the PiecewiseFlatForward stores the curve in terms of the
forward rates, but you can obtain the zero coupon rates using
the method zeroYield (see class TermStructure for the exact interface).

Marco.

At 10:22 AM 8/22/02 +0200, you wrote:

>Hello,
>just a quick question on the zero curve generation.
> >From a term Structure 1W, 1M, 2M, 3M ..... I want the zero coupon rates.
>I found the class PiecewiseFlatForward but I understand that it's only to
>generate forward rates.
>Should I use ImpliedTermStructure to boostrap the curve and generate the
>zero rates or  PiecewiseFlatForward ?
>Thanks
>Xavier
>
>
>
>
>
>
>
>
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... [show rest of quote]

[Xavier.Abulker]

Thank you Marco,

so if I understand:

double d1yQuote=0.03;
Handle<RateHelper> d1y(new DepositRateHelper(
            d1yQuote, settlementDays,
            1, Years, calendar, ModifiedFollowing, depositDayCounter));
std::vector<Handle<RateHelper> > depoSwapInstruments;
        depoSwapInstruments.push_back(d1y);

PiecewiseFlatForward(currency, termStructureDayCounter,
            todaysDate, calendar, settlementDays,
depoSwapInstruments).zeroYield(1)

will give me the 1 year zero coupon rate?

Thank you for your help
Xavier




                                                                                                                             
                    Marco Marchioro                                                                                          
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Xavier,
the PiecewiseFlatForward stores the curve in terms of the
forward rates, but you can obtain the zero coupon rates using
the method zeroYield (see class TermStructure for the exact interface).

Marco.

At 10:22 AM 8/22/02 +0200, you wrote:

>Hello,
>just a quick question on the zero curve generation.
> >From a term Structure 1W, 1M, 2M, 3M ..... I want the zero coupon rates.
>I found the class PiecewiseFlatForward but I understand that it's only to
>generate forward rates.
>Should I use ImpliedTermStructure to boostrap the curve and generate the
>zero rates or  PiecewiseFlatForward ?
>Thanks
>Xavier
>
>
>
>
>
>
>
>
>-------------------------------------------------------
>This sf.net email is sponsored by: OSDN - Tired of that same old
>cell phone?  Get a new here for FREE!
>https://www.inphonic.com/r.asp?r=sourceforge1&refcode1=vs3390
>_______________________________________________
>Quantlib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

... [show rest of quote]

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[Marco Marchioro-2]

At 01:50 PM 8/22/02 +0200, [hidden email] wrote:

>Thank you Marco,
>
>so if I understand:
>
>double d1yQuote=0.03;
>Handle<RateHelper> d1y(new DepositRateHelper(
>             d1yQuote, settlementDays,
>             1, Years, calendar, ModifiedFollowing, depositDayCounter));
>std::vector<Handle<RateHelper> > depoSwapInstruments;
>         depoSwapInstruments.push_back(d1y);
>
>PiecewiseFlatForward(currency, termStructureDayCounter,
>             todaysDate, calendar, settlementDays,
>depoSwapInstruments).zeroYield(1)
>
>will give me the 1 year zero coupon rate?
>
>Thank you for your help
>Xavier

... [show rest of quote]

Yep, that's right.

Marco