Re: yield curve bootstrapping

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5481.html

On Thu, 2010-05-06 at 11:57 +0530, Rambo Bachalakuri wrote:
> 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.

The deposit rate is simply compounded.  You're probably asking for the
continuously-compounded zero rate, which is lower since it has to
satisfy the equivalence (1+Rt) = exp(Zt) with t = 1 year, R = deposit
rate and Z = zero rate.

Luigi


--

Discontent is the first necessity of progress.
-- Thomas A. Edison



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