QuantLib - 答复: Term Structures - Initialize from vector of quotes and dates

答复: Term Structures - Initialize from vector of quotes and dates

Posted by cheng li on Aug 18, 2015; 1:02am
URL: http://quantlib.414.s1.nabble.com/Term-Structures-Initialize-from-vector-of-quotes-and-dates-tp16795p16796.html

Hi Lucas,

Depending on what the rate really means, you should use InterpolatedZeroCurve or InterpolatedForwardCurve instead.

Regards,

Cheng

发件人: Lucas Ingles [mailto:[hidden email]]
发送时间: 2015年8月18日 8:40
收件人: QuantLib users <[hidden email]>
主题: [Quantlib-users] Term Structures - Initialize from vector of quotes and dates

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

------------------------------------------------------------------------------

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