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
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