implied term structure

[mudcrab]

Firstly, thanks to Luigi and others for answering my questions in the past.

Here's what I am trying to do at present:

1.  Build a fitted term structure at Date A
2.  Derive the implied term structure at Date B.
3.  Price some fixed income instruments at Date B with the implied term
structure (i.e. assuming the forward term structure, implied at Date A,
obtains at Date B).

So the whole procedure doesn't work because some of the market instruments
used in step 1 expire before Date B, and I get a failure in
FittedBondDiscountCurve::performCalculations() at

QL_REQUIRE(BondFunctions::isTradable(*bond, bondSettlement),
           io::ordinal(i+1) << " bond non tradable at " <<
           bondSettlement << " settlement date (maturity"
           " being " << bond->maturityDate() << ")");

Is there a clever way to disassociate the curve in step 2 from the curve
in step 1? (Exporting the rates from the curve in step 2 and building an
InterpolatedZeroCurve to be used in step 3 is one possibility, but it
doesn't seem terribly clever).

Thanks again.



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[Ferdinando M. Ametrano-2]

trsmith wrote:
> Here's what I am trying to do at present:
>
> 1.  Build a fitted term structure at Date A
> 2.  Derive the implied term structure at Date B.
> 3.  Price some fixed income instruments at Date B with the implied term
> structure (i.e. assuming the forward term structure, implied at Date A,
> obtains at Date B).

if DateB is your NPV date (i.e. you want a forward price) you might
not need step 2 at all, as you can discount to DateA and then
capitalize to DateB using the same curve

If you really need a term structure which does have discount = 1.0 at
DateB then use ImpliedTermStructure (anyway I would challenge you as
to why you need it)

> So the whole procedure doesn't work because some of the market instruments
> used in step 1 expire before Date B
which is realistic and perfectly fine in my view of the world... :-D

>, and I get a failure in
> FittedBondDiscountCurve::performCalculations() at

mmm... if I guess it right you're pricing bonds. Why don't you just
price them setting  a forward date as bond settlement date?

ciao -- Nando

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