CompoundForward

Posted by Andre Louw-2 on Apr 25, 2002; 5:18am
URL: http://quantlib.414.s1.nabble.com/CompoundForward-tp10060.html

Hi,

I have a bit of a problem with the name compoundforward, essentially it
bootstraps a strip of forwards of some compounding freq to a strip of
discountfactors. These df's it then uses to get back to zeros and
instantaneous forwards, so it seems it is more in the line of a
DiscountStructure?
In fact I have gone as far as inheriting from DiscountStructure and passing
the implementation of zeroYield and forward to it. Haven't checked in yet,
would like to hear yr comments first?

Andre

 
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