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Re: LIBOR forwards pricing : should I use PiecewiseFlatForward ?

Posted by Luigi Ballabio-2 on Jul 23, 2004; 8:25am
URL: http://quantlib.414.s1.nabble.com/LIBOR-forwards-pricing-should-I-use-PiecewiseFlatForward-tp3085p3086.html

On 2004.07.23 15:31, [hidden email] wrote:
> 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 when I ask for spot rates, I obtain different rates than those
> that I have specified myself.

Dieudonné,
        if you use the TermStructure::forward() method, the returned  
values are continuously compounded forward rates, which is not what you  
want. In order to obtain LIBOR fixings, you must instantiate a Libor  
index and use the fixing() method. For instance:

RelinkableHandle<TermStructure> discountCurve(
    Handle<TermStructure>(
        new PiecewiseFlatForward(...)));

Euribor index(6,Months,discountCurve);
std::cout << index.fixing(Date(23,July,2006)) << std::endl;

For details, look at test-suite/piecewiseflatforward.cpp--which  
actually verifies that the discount curve reproduces the given rates  
exactly...

Later,
        Luigi