Re: yield curve bootstrapping

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5484.html

Hi Ram

> 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.

You cannot compare apples and oranges: zero rate are continuous
compounding, while deposit (up to 1Y) are simple compounding.

You must also pay attention to dayconting conventions. In the EUR case
deposits use act/360, while zeros use whatever you selected (hopefully
act/365 or some strictly monotone daycounter)

ciao -- Nando

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