Re: z-spread

Posted by paolo baroni on
URL: http://quantlib.414.s1.nabble.com/z-spread-tp15361p15379.html

Luigi, can I use the same function to manage CDS spread? Or there is a different way?

Thanks

Paolo

2014-06-04 12:01 GMT+02:00 Luigi Ballabio <[hidden email]>:

Yes, use PiecewiseZeroSpreadedTermStructure instead.

Luigi

On Wed, Jun 4, 2014 at 11:39 AM, Paolo Baroni <[hidden email]> wrote:
> Hi!  Is there a way in the function 'ZeroSpreadedTermStructure' to pass it a
> z-spread as a vector (set of values for different maturities)?
>
> Thanks
>
> Paolo
>

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Learn Graph Databases - Download FREE O'Reilly Book
"Graph Databases" is the definitive new guide to graph databases and their
applications. Written by three acclaimed leaders in the field,
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http://p.sf.net/sfu/NeoTech
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