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,
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