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Re: Yield term structure

Posted by Luigi Ballabio on Aug 20, 2007; 4:01pm
URL: http://quantlib.414.s1.nabble.com/Yield-term-structure-tp1265p1267.html

On Mon, 2007-08-20 at 16:45 +0200, [hidden email]
wrote:

>
> 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));

True, but you don't need the explicit interpolation arguments. You can
avoid declaring ln and l and simply write:

        shared_ptr<YieldTermStructure> curve(new
InterpolatedDiscountCurve<LogLinear>(dates, dfs, dc, cal));

        shared_ptr<YieldTermStructure> curve(new
InterpolatedDiscountCurve<Linear>(dates, dfs, dc, cal));

        shared_ptr<YieldTermStructure> curve(new
InterpolatedZeroCurve<Linear>(dates, dfs, dc));


Luigi


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I hate quotations.
-- Ralph Waldo Emerson



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