constructing a yield curve using QuantLib
Posted by
Pavan Shah-2 on
URL: http://quantlib.414.s1.nabble.com/constructing-a-yield-curve-using-QuantLib-tp15717.html
hello, i have the following quotes from an outside source.
US00O/N
Index |
0.090 |
| US0001W Index |
0.122 |
| US0002W Index |
0.171 |
|
|
| US0001M Index |
0.159 |
| US0003M Index |
0.237 |
| US0006M Index |
0.330 |
| US0012M Index |
0.560 |
| USSW2 CMPN Curncy |
0.678 |
| USSW3 CMPN Curncy |
1.123 |
| USSW4 CMPN Curncy |
1.509 |
| USSW5 CMPN Curncy |
1.802 |
| USSW6 CMPN Curncy |
2.034 |
| USSW7 CMPN Curncy |
2.219 |
| USSW8 CMPN Curncy |
2.373 |
| USSW9 CMPN Curncy |
2.502 |
| USSW10 CMPN Curncy |
2.613 |
| USSW15 CMPN Curncy |
2.976 |
| USSW20 CMPN Curncy |
3.139 |
| USSW30 CMPN Curncy |
3.247 |
how can i input these quotes and produce a complete yield curve and corresponding vector of discount factors?
an example would be greatly appreciated
i am trying to price an option that may expire in 23 months from now (for example).
So i would need the correct rate to use for that.
thanks
Pavan
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