getting DiscountCurve from Zero Yield Curve

[Eduardo Montoya]

Hello everyone,

I would like to know if there is a QuantLib method for obtaining a vector of discount factors
given a vector of rates?

something like:

std::vector<DiscountFactor> zero2discount(std::vector<Rate> curveRates, std::vector<Date> curveDates, Date SettlementDate, Compounding, DayCounter);

thanks in advance for your answers!

Regards,

Eduardo

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[Luigi Ballabio]

On Thu, 2008-12-04 at 18:34 +0100, Eduardo Montoya wrote:
> I would like to know if there is a QuantLib method for obtaining a
> vector of discount factors
> given a vector of rates?

Not as a function. You can use the vector of rates to instantiate an
InterpolatedZeroCurve. Once you have the curve, you can call the
discount() method repeatedly to get your output vector.

Luigi


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