Re: [QuantLib-Users] IborIndex Fixings vsBloomberg Fixings

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Users-IborIndex-Fixings-vs-Bloomberg-Fixings-tp5632p5640.html

On Wed, Apr 11, 2012 at 2:09 PM, Smith, Dale <[hidden email]> wrote:
> The only future fixings available are forward rates built from today's yield curve. That's what Bloomberg uses. I thought the purpose of the IborIndex classes were to encapsulate this, however I see I was wrong.

No, you were right,  The IborIndex class builds forwards from today's
yield curve.
We'd need more investigation to see why the results are different...

> I've decided I can use the InterpolatedDiscountCurve to achieve one of my goals by giving it discount factors. If this is in error, please let me know.

That's ok if you have a series of discount factors.

Luigi

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