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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[hidden email] Subject: Re: [Quantlib-users] Zero curve generation
eforge.net
22/08/2002 14:32
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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