Re: constructing a yield curve using QuantLib

Posted by Whit Armstrong on
URL: http://quantlib.414.s1.nabble.com/constructing-a-yield-curve-using-QuantLib-tp15717p15718.html

Just take this example and use depo and swap rates.  drop the FRAs.

https://github.com/lballabio/quantlib/blob/master/QuantLib/Examples/Swap/swapvaluation.cpp

-Whit

On Thu, Aug 7, 2014 at 2:10 PM, Pavan Shah <[hidden email]> wrote:

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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