How to construct a curve from forward rates by using function qlInterpolatedYieldCurve ?

Posted by cheng li on Aug 10, 2012; 12:21pm
URL: http://quantlib.414.s1.nabble.com/How-to-construct-a-curve-from-forward-rates-by-using-function-qlInterpolatedYieldCurve-tp5242.html

Hi All,

 

Yesterday I asked a question on serializing in Quantlibxl. That problem is resolved. Thank you for help from Bojan and Ballabio. Now another problem arised. Since we are planning to do some forward rates shifts scenario analysis, I need to construct a curve from forward rates. My original plan was as follows: BY using the function qlYieldTSForwardRate, I got the forward rates corresponding to a specific period from my calibrated curve. After that, I fed the dates vector and forward rates vector to the function qlInterpolatedYieldCurve which seemed meet my purpose. However at this stage, I found one problem. When I got the forward rate from the function qlYieldTSForwardRate, the compounding info was offered by me. But in the signature of qlInterpolatedYieldCurve, there is no compounding parameter for user to enter. Does that mean the function has a default compounding rule which can’t be changed by the user? Or the function will try to get the compounding info from somewhere automatically?    

 

Regards,

Cheng

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