Re: yield curve bootstrapping

Posted by brb204 on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5480.html

Hello all

I tryed to build yeild curve with  constant Deposit rates (0.06) upto one year. But when i tried to get zero rate from that curve, I am always getting a rate which is less than 0.06. Could you guys please help me out.

Thanks in Advance

Ram

On Wed, May 5, 2010 at 2:14 PM, Paolo Baroni <[hidden email]> wrote:

Thank you

ciao 

Paolo

2010/5/4 Luigi Ballabio <[hidden email]>

On Tue, 2010-05-04 at 12:30 +0200, Paolo Baroni wrote:
> Hi,
> sorry for my ignorance but which kind of rate is the "DepoSN"?

Spot-next (that is, from spot to the day after.)

Luigi


--

Anyone who says he can see through women is missing a lot.
-- Groucho Marx

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

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

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

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users