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Term Structures - Initialize from vector of quotes and dates

Posted by Lucas Ingles on Aug 18, 2015; 12:11am
URL: http://quantlib.414.s1.nabble.com/Term-Structures-Initialize-from-vector-of-quotes-and-dates-tp16795.html

Hello,

I am trying to use the Term Structure objects from QuantLib in my application.
My situation is: I already have all the points of the curve calculated by another system. In fact, I have a vector of dates and rates with 15000 points already interpolated (in actual days). What I need is a constructor similar to the ones of the class "YieldTermStructure", that takes a vector of Quotes and Dates, but I cant use "YieldTermStructure" direct because the class is abstract. I tried with the other derived term structure classes but with no success. Please, is there any object that suits my needs?

Here is a hipotetical example of my curve:

Date                  Actual Days     Rate
17/Aug/2015                      0       10.0%
18/Aug/2015                      1       10.1%
19/Aug/2015                      2       10.2%
20/Aug/2015                      3       10.3%
21/Aug/2015                      4       10.4%
22/Aug/2015                      5       10.5%
     .                                   .          .
     .                                   .          .
     .                                   .          .
22/Aug/2050               12789       14.5%
23/Aug/2050               12790       14.6%

Thank you very much,
--
Lucas Lorenzi Ingles

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