Re: Zero Curve term structure

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Zero-Curve-term-structure-tp4681p4682.html

On 03/31/2006 02:02:26 PM, [hidden email] wrote:
> I would like to use the zero curve term strucuture not in continous
> mode (exp(-t * r))   but in discrete mode  (1/(1+r)^(t))
>
> How can I do with the zero curve class ?

You mean that you have a set of discrete zero rates, and you want to  
pass them to ZeroCurve and have discounts calculated accordingly, right?

I'm afraid that it cannot be done directly at this time. As a  
workaround, you could use the InterestRate::equivalentRate method to  
convert your discrete rates to continuous ones and use the results to  
initialize the ZeroCurve.

Luigi


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