Re: Zero coupon rates

Posted by Luigi Ballabio-4 on May 29, 2002; 1:12pm
URL: http://quantlib.414.s1.nabble.com/Zero-coupon-rates-tp10098p10099.html

Hi Andre,

At 8:15 AM +0200 5/29/02, Andre Louw wrote:
>I am looking for a zero-coupon rate from a termstructure. I have been
>thinking of the following (assuming annual compounding):
> given Time t and df at t
> up-to compounding i.e t <= 1.0
> zc = ((1.0/df)-1.0)/t
> above compounding
> zc = pow(1.0/df,1.0/t)-1.0
>
>Can I go ahead and implement this in termstructure.hpp?

I would implement it _on top_ of TermStructure rather that _in_ it.
Could be the first step towards bonds, couldn't it?

Later,
        Luigi

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