Re: TermStructure question.

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/TermStructure-question-tp3917p3918.html

On 07/18/2005 12:17:39 PM, Siddharth Sharma wrote:
> In the swapvaluation.cpp, I added a par rate
> calculation after the creation of the
> depoSwapTermStructure
>
>  the 10 year swap rate is 5.165% ( Rate
> s10yQuote=0.05165;) but the value returned by
> parRate is 5.16517962147765%

Sid,
        the parRate method is just an approximation---it doesn't take  
into account all market conventions for swaps---and as a matter of fact  
I've a mind to remove it from the YieldTermStructure interface. The  
right way to evaluate the par rate is to instantiate a SimpleSwap and  
call its fairRate() method, as is done later in the example.

Later,
        Luigi

----------------------------------------

I have yet to see any problem, however complicated, which, when you
looked at it in the right way, did not become still more complicated.
-- Poul Anderson