Re: yield curve bootstrapping

Posted by brb204 on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5482.html

Hi Luigi

Thanks for your reply, I tried almost all permutations and combinations of all compounding and frequencies. But i never got the inputted 0.06 rate. 

I think for these inputs of zero rate i should get 0.06, as zero coupon rates and deposit rates are same.

double riskFreeDiscount = DepoTermStructure->zeroRate(chekDate,depositDayCounter,Simple,Once); 

can you please correct me. I am also attaching my code in text file.

thanks in advance

Ram

On Thu, May 6, 2010 at 1:11 PM, Luigi Ballabio <[hidden email]> wrote:

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

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

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