Cheng Li, thanks for your response.
I will try with that ones. What I dont understand about these objects is why they have 2 vectors of dates and 2 vectors of rates (the Rates/Forwards and Quote vectors). My rates are zero coupon rates from Brasil DI Futures market (they are not forward rates). I will try with the simpler constructors (the one with just the "yields" vector of Rates from InterpolatedZeroCurve).
Thank you again,
Lucas
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
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