Posted by
Allen Kuo-2 on
URL: http://quantlib.414.s1.nabble.com/Yield-curve-generated-using-Treasury-considerably-higher-than-the-curve-by-DOT-tp14229p14233.html
my guesses:
1. you're printing out zero rates whereas the treasury
[hidden email] is a yield (to maturity) curve. You probably
want to print out a par rates. Not sure there is a direct method
for that anymore but can back that out using the discount curve.
See:
http://quantlib.org/reference/_fitted_bond_curve_8cpp-example.html
2. The methodology of building the curves is different. Treasury
appears to be taking select bond YTMs and interpolating to get
values for the key points (e.g. 2,3,5,7,10, 30). Then it takes
those key YTM points and uses a "quasi-cubic hermite spline
algorithm" to get other points on their yield (to maturity) curve
(which should be close to par curve).
To do what treasury does (to directly fit yields), I think you'd
have to do something along the lines of:
http://quantlib.org/quep/quep003/CurveFitting_8cpp-source.html
On 4/23/2013 12:19 PM, song xu wrote:
sorry, forgot to attached the files
The yield curved
is generated using 4,13,26, and 52 weeks
T-bills, and 2,3,5,7, and 10 year T-notes, and
30 year T-bond that are published in
treasurydirect.com. The code is pretty much a
knockoff of the bonds.cpp. The curve produced by
the code using the treasury from the
treasurydirect.com is considerably higher than the
Treasury Curve in http://www.treasury.gov/resource-center/data-chart-center/Pages/index.aspx.
I checked the calender, daycounter, settlement
date, and etc, and they seem fine to me. It would be
appreciated if someone could help me to
identify the problem.
The significant
discrepancy between the two curves prevents me
from using the 20 year composite rate, because
it is considerably smaller than that in the
curve I generated. Without using the 20 year
composite rate, the long-term portion of the
curve will be concave instead convex as shown in
the Treasury Curve.
Thanks
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