Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/how-to-get-discretely-compounded-zero-rates-tp1090p1094.html
On Fri, 2007-06-29 at 20:29 +0000, John Maiden wrote:
> 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;
John,
try dropping the CompoundForward curve and using an
InterpolatedZeroCurve or a instead. The CompoundForward is a rather old
contribution, was a bit ad-hoc, and I'm not sure that it still works
correctly.
Luigi
--
The Feynman Problem Solving Algorithm:
1) Write down the problem.
2) Think very hard.
3) Write down the solution.
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