(no subject)

[Eduardo Montoya]

Hello everyone!

I have de following examples included within ZC.zip.

the makefile

1. Makefile

the sources

2. ZeroCouponBondFlatForwardCurve.cpp
3. ZeroCouponBondForwardCurve.cpp
4. ZeroCouponBondForwardSpreadedCurve.cpp
5. ZeroCouponBondDiscountCurve.cpp

the outputs

6. ZeroCouponBondFlatForwardCurve.txt
7. ZeroCouponBondForwardCurve.txt
8. ZeroCouponBondForwardSpreadedCurve.txt
9. ZeroCouponBondDiscountCurve.txt

the Excel version!

ZC.xls

calculating clean prices for date 26-11-2008 the worksheet returns:

qlFlatForwardCurve = 97.9451
qlForwardCurve = 97.8668
qlForwardSpreadedTermStructure = 97.8618
qlDiscountCurve = 97.7643

while C++ examples return:

ZeroCouponBondFlatForwardCurve.cpp = 97.9451
ZeroCouponBondForwardCurve.cpp = 97.8668
ZeroCouponBondForwardSpreadedCurve.cpp = 97.8618
ZeroCouponBondDiscountCurve.cpp = 0.0260461

As you all can see, almost all results are coherent except for the last one (discount curve)

could anybody tell me what I am doing wrong?

thanks in advance,

Regards,

Eduardo.


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