Re: how to get discretely compounded zero rates

Posted by John Maiden on
URL: http://quantlib.414.s1.nabble.com/how-to-get-discretely-compounded-zero-rates-tp1090p1093.html

This is probably a naive question, but why don't I
get the same forward rate (the last item in the
Data struct) if I try

Date tty = termStructure->maxDate();

cout << termStructure->forwardRate(today, tty, dayCounter, Continuous,
frequency) << endl;

As far as I know, the program only calculates
a linear fit between the forward values. Where
would it change the actual forward values?


-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users