Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/OutPut-in-QuantLib-tp14528p14533.html
Hello Lawrence,
to get discount factors, zero rates and forward rates you can use,
for instance,
DayCounter dc = depoFutSwapTermStructure->dayCounter();
depoFutSwapTermStructure->discount(d);
depoFutSwapTermStructure->zeroRate(d, dc, Continuous); // or Simple
depoFutSwapTermStructure->forwardRate(d1, d2, dc, Simple);
for any given date d (or any pair d1,d2 for forwards). If you want to
know what dates the curve is using internally to interpolate, call
depoFutSwapTermStructure->nodes().
As for writing to text: I'm not familiar with boost_archive_text, but
what's wrong with simply writing to an ofstream?
Finally: for the simulation, you'll have to use the market model in
ql/models/marketmodels. But it's been a long time since I last used
it, so I'll let someone else step in to answer.
Luigi
On Thu, Sep 19, 2013 at 4:04 PM, Lawrence Habahbeh
<
[hidden email]> wrote:
> Dear All,
>
> I am running the vanilla swap example and the build was fine.
>
>
> I have few questions regarding the output :
>
> how to get the Yield Curve::( Forward rates ,and the discount factors with
> associated dates as output )
>
> Date | 3-Month Forward rates | zero rates | Discount factors
>
>
>
> Would like to use the Bootstrapped curve,and generate 10,000 scenarios and
> then reprice my swap of the simulated curves,total MtM are # of
> paths(10,000)* # time steps per year (in this case quarterly)= 40,000 MtM's
>
>
> I Tried using boost_archive_text to write output to text,but to no
> avail,how to achieve writing to text ?
>
>
> attached the swap valuation file
>
>
> Regards,
>
>
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