Re: Forwards

Posted by Luigi Ballabio-4 on
URL: http://quantlib.414.s1.nabble.com/Forwards-tp2011p2013.html

At 03:13 PM 4/24/02 +0200, Ferdinando Ametrano wrote:

>At 03:01 PM 4/24/2002 +0100, Luigi Ballabio wrote:
>>At 01:35 PM 4/24/02 +0200, Andre Louw wrote:
>>>Why exactly would you calculate an instantaneous forward instead of
>>>calculating out of spot? When would you use it?
>>
>>Well, the curve of the instantaneous forwards at time t and the curve of
>>the forwards between 0 and t can be deduced from each other, so there's
>>no phylosophical reason to favor one or the other.
>The QuantLib term structure interface allows for modelling of discount,
>zero rate or forward rate based curves. There is no preference towards
>forward.

No, the question was: in case of forward rates, why instantaneous ones and
not finite-time ones? discounts and zeroes were taken for granted already.
The point being: once you model discounts, zero rates or instantaneous
forward rates, of course you can write a method returning forwards from t1
to t2.
But what if I want to model the forwards from t1 to t2 and derive
discounts, zeroes and instantaneous forwards from them?

Just to clarify the question.

Bye,
         Luigi