Re: TermStructure question.

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/TermStructure-question-tp3917p3920.html

On 07/18/2005 03:13:28 PM, Ferdinando Ametrano wrote:
>>     the parRate method is just an approximation---it doesn't take  
>> into account all market conventions for swaps---
>
> the par rate is like a zero rate or a discount factor: all of them  
> are formulae/definitions that express the current (today) value of  
> future payment(s). As such none of them mind about any market  
> convention at all.

I beg to differ. There are conventions determining _what_ future  
payments should be considered when calculating the par rate. The fact  
that the method "doesn't mind" only means that you hard-coded them in  
the current implementation---for instance, fixed-rate payments are  
considered to have annual frequency, which is true here in Europe but,  
I'm told, false on the other side of the Atlantic.


>> as a matter of fact  I've a mind to remove it from the  
>> YieldTermStructure interface.
>
> I would not. It might be stressed in a better way that the par rate  
> is not a swap rate...

Even though the documentation in the code says otherwise

> ...but the par rate has its own right to exist.

Defined as what?

Later,
        Luigi


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This gubblick contains many nonsklarkish English flutzpahs, but the  
overall pluggandisp can be glorked from context.
-- David Moser