Different compoundings. The rates you're passing to the zero curve
are assumed by default to be continuously compounded. So when you ask
for rates with simple compounding, you get that 5% continuously
compounded for 1 year is equivalent to 5.12% simply compounded. Ditto
for 2 years, 3 years etc.
Luigi
On Jun 14, 2011, at 7:28 AM, d0tc0mguy wrote:
> I am using the interpolatedzerocurve interface
>
> Code Snippet follows :
>
> // Calendar calendar = TARGET();
> Calendar calendar = NullCalendar();
> Date settlementDate(10, March, 2011);
>
> Date Date1(10, March, 2011);
> Date Date2(10, March, 2012);
> Date Date3(10, March, 2013);
> Date Date4(10, March, 2014);
> Date Date5(10, March, 2015);
>
>
> std::vector<Date> dates;
> std::vector<Rate> rates;
> dates.push_back(Date1);
> dates.push_back(Date2);
> dates.push_back(Date3);
> dates.push_back(Date4);
> dates.push_back(Date5);
> rates.push_back(0.05);
> rates.push_back(0.05);
> rates.push_back(0.05);
> rates.push_back(0.05);
> rates.push_back(0.05);
>
> Handle<YieldTermStructure> bondDiscountingTermStructure(
> new
> InterpolatedZeroCurve<Linear>(dates,
> rates,termStructureDayCounter));
>
>
>
>
> std::cout<< "Date: " << Date1 << " ZeroRate:" <<
> bondDiscountingTermStructure->zeroRate(bondDiscountingTermStructure-
> >timeFromReference(Date1),Simple,Annual,false)
> <<std::endl;
> std::cout<< "Date: " << Date2 << " ZeroRate:" <<
> bondDiscountingTermStructure->zeroRate(bondDiscountingTermStructure-
> >timeFromReference(Date2),Simple,Annual,false)
> <<std::endl;
> std::cout<< "Date: " << Date3 << " ZeroRate:" <<
> bondDiscountingTermStructure->zeroRate(bondDiscountingTermStructure-
> >timeFromReference(Date3),Simple,Annual,false)
> <<std::endl;
> std::cout<< "Date: " << Date4 << " ZeroRate:" <<
> bondDiscountingTermStructure->zeroRate(bondDiscountingTermStructure-
> >timeFromReference(Date4),Simple,Annual,false)
> <<std::endl;
> std::cout<< "Date: " << Date5 << " ZeroRate:" <<
> bondDiscountingTermStructure->zeroRate(bondDiscountingTermStructure-
> >timeFromReference(Date5),Simple,Annual,false)
> <<std::endl;
>
> Output -
>
> Date: March 10th, 2011 ZeroRate:5.000013 % Actual/Actual (ISDA)
> simple
> compounding
> Date: March 10th, 2012 ZeroRate:5.127397 % Actual/Actual (ISDA)
> simple
> compounding
> Date: March 10th, 2013 ZeroRate:5.258546 % Actual/Actual (ISDA)
> simple
> compounding
> Date: March 10th, 2014 ZeroRate:5.394475 % Actual/Actual (ISDA)
> simple
> compounding
> Date: March 10th, 2015 ZeroRate:5.535069 % Actual/Actual (ISDA)
> simple
> compounding
>
> I am not able to understand why the a flat zero rate curve with 5%,
> when
> interpolated returns - 5.12%, 5.25%, 5.39% ....
>
>
> Thanks in advance,
>
> Das
>
> --
> View this message in context:
http://old.nabble.com/InterpolatedZeroCurve----%3E-Understanding-Problem-tp31839931p31839931.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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