Posted by
Whit Armstrong on
URL: http://quantlib.414.s1.nabble.com/question-on-YieldTermStructure-forwardRate-tp14955.html
I have a question on the forwardRate function of YieldTermStructure.
When I bootstrap a yield curve and calc the 5yr5yr forward rate using
the forwardRate function, it does not match the 'fairRate' calculated
from an actual VanillaSwap object using the same forward dates.
Is this expected, and if so, is there something I can do to my
forwardRate call to adjust the rate to match the par swap rate of the
forward dates?
See this link for an example which prints both rates.
The rate calculated from the forwardRate function is consistently
higher over historical dates (by about 1.5 bpts) than the rate
calculated by the fairRate function.
Any insight would be much appreciated.
-Whit
https://gist.github.com/armstrtw/8940881------------------------------------------------------------------------------
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