Posted by
Siddharth Sharma-3 on
URL: http://quantlib.414.s1.nabble.com/TermStructure-question-tp3917.html
Hi,
In the swapvaluation.cpp, I added a par rate
calculation after the creation of the
depoSwapTermStructure: i.e.
boost::shared_ptr<YieldTermStructure>
depoSwapTermStructure(new
PiecewiseFlatForward(settlementDate,
depoSwapInstruments,
termStructureDayCounter, tolerance));
Rate tr = depoSwapTermStructure->parRate(10,
settlementDate);
-------------------------------------------------------
the 10 year swap rate is 5.165% ( Rate
s10yQuote=0.05165;) but the value returned by
parRate is 5.16517962147765% The difference is too
small to be explained by a daycount
convention or fixingDays offset, but it exists
nonetheless and i can't seem to figure out
why. Could someone please explain why this discrepancy
exists, how to fix it and if not, how to explain it
away?
I know it is in the 6th/7th decimal place, but the
numbers lose their credibility for some people if they
don't tie exactly to the numbers in the yield curve
inputs.
Anyone have any ideas?
thanks and regards
Sid
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