LIBOR forwards pricing : should I use PiecewiseFlatForward ?

Posted by d.djimi on
URL: http://quantlib.414.s1.nabble.com/LIBOR-forwards-pricing-should-I-use-PiecewiseFlatForward-tp3085.html

Hi all,

I am trying to price LIBOR forwards (e.g 3 months forward 3 months, 6
months forward 23 days, etc) using the PiecewiseFlatForward function,
but I obtain strange results :

--> When I ask for spot rates, I obtain different rates than those
that I have specified myself.
-->I obtain erroneous forward values.

This does not happen when I price the forward swap curve (e.g 2 years
forward 5 months, 5 years forward 2 weeks, etc).

Should I use the PiecewiseFlatForward function ? And should I use it
the same way that I do for pricing the forward swap curve ?


Any idea ?

Thanks,

Dieudonné