Re: Zero curve generation

Posted by Marco Marchioro-2 on Aug 22, 2002; 8:46am
URL: http://quantlib.414.s1.nabble.com/Zero-curve-generation-tp2145p2147.html

At 01:50 PM 8/22/02 +0200, [hidden email] wrote:

>Thank you Marco,
>
>so if I understand:
>
>double d1yQuote=0.03;
>Handle<RateHelper> d1y(new DepositRateHelper(
>             d1yQuote, settlementDays,
>             1, Years, calendar, ModifiedFollowing, depositDayCounter));
>std::vector<Handle<RateHelper> > depoSwapInstruments;
>         depoSwapInstruments.push_back(d1y);
>
>PiecewiseFlatForward(currency, termStructureDayCounter,
>             todaysDate, calendar, settlementDays,
>depoSwapInstruments).zeroYield(1)
>
>will give me the 1 year zero coupon rate?
>
>Thank you for your help
>Xavier

Yep, that's right.

Marco