Canadian OIS

Posted by emmajyu on
URL: http://quantlib.414.s1.nabble.com/Canadian-OIS-tp14353.html

Hi,
I am trying to build canadian overnight curve. But the discount factors and zero rates are not correct, the gaps are 10^(-5) - 10^(-6) which is not acceptable for us.

I attached the complete file that how I use it. can you please kindly help?
inherited a new index as this way:

class CanDepo : public IborIndex {
      public:
        CanDepo(const Period& tenor,
                const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };


class CanadaON : public CanDepo {
      public:
        CanadaON(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : CanDepo(Period(1, Years), h) {}
    };

 
CanDepo::CanDepo(const Period& tenor, const Handle<YieldTermStructure>& h)
    : IborIndex("Canada", tenor, 0, CADCurrency(), Canada(Canada::Settlement), ModifiedFollowing, true, Actual365Fixed(), h) {
        QL_REQUIRE(this->tenor().units()!=Days,
                   "for daily tenors (" << this->tenor() <<
                   ") dedicated DailyTenor constructor must be used");
    }


test1CADOISCurve.cpp