Login  Register

constant forward in yield curve for intermediate quotes

Posted by André de Boer on Aug 11, 2015; 8:44am
URL: http://quantlib.414.s1.nabble.com/constant-forward-in-yield-curve-for-intermediate-quotes-tp16770.html

Hi,

When using

boost::shared_ptr<YieldTermStructure> swapTermStructure(
                                new PiecewiseYieldCurve<Discount,LogLinear>(
                                settlementDate, depoSwapInstruments,
                                termStructureDayCounter,
                                tolerance));

in constructing a yield curve with quotes t = 1 ... 10, 12, 15, 20,
25, 30, 40 and 50 years, the forward rates are not constant for the
intermediate years. How to accomplish this?

Regards,
André

------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users