Question about using QuantLib

Posted by Dale Smith-7 on
URL: http://quantlib.414.s1.nabble.com/Question-about-using-QuantLib-tp3801.html


Hi there,

I am a new QuantLib user. Right now I'm trying to use QuantLib to price straight Treasury bonds using a specified yield curve. I have read over the documentation, and more importantly, looked at the examples and test suite code. I still don't have a picture about how things should work. I'm following the swap valuation example to get a Handle to a YieldTermStructure. My specific question is how do I get back the discretely compounded forward rates for use in the pricing formula for the Treasury bond.

Eventually my group hopes to use the Hull-White model to generate interest rate paths to price MBS, but first I have to learn how QuantLib handles yield curves, how to get out the proper discount factors, and price Treasury bonds.

Thanks for any assistance (TIA).

Dale Smith, Ph.D.
[hidden email]
DTCC Risk Management
Quantitative Group
212-855-7641