Re: Yield term structure
Posted by
marco.tarenghi on
Aug 20, 2007; 3:45pm
URL: http://quantlib.414.s1.nabble.com/Yield-term-structure-tp1265p1266.html
Hi, you could try something like this:
suppose you define (according to your
data):
Calendar
cal = ...;
DayCounter
dc = ...;
vector<Date>
dates = ...;
vector<DiscountFactor>
dfs = ...;
remember that the first date must have
unit discount factor.
Define also
LogLinear
ln;
Linear
l;
Now suppose for example you want a term
structure interpolating linearly on rate * time (equivalently loglinearly
on discounts)
You have:
shared_ptr<YieldTermStructure>
curve(new InterpolatedDiscountCurve<LogLinear>(dates, dfs, dc, cal,
ln));
Or, for linear interpolation on discount
factors
shared_ptr<YieldTermStructure>
curve(new InterpolatedDiscountCurve<Linear>(dates, dfs, dc, cal,
l));
Also, for linear interpolation on zero
rates:
shared_ptr<YieldTermStructure>
curve(new InterpolatedZeroCurve<Linear>(dates, dfs, dc, l));
Hope this helps.
Bye,
Marco
Hello,
I am new to quantlib.
I have a series of discount factors for different
dates for which I would like to find the yield term structure.
Could you please help me.
Thanks a lot
Amandine
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