Posted by
Smith, Dale (Norcross) on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Users-IborIndex-Fixings-vs-Bloomberg-Fixings-tp5632p5641.html
Hmm. Let me see if I have time today to step back thru the code and
isolate what's going on.
Thanks,
Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Risk & Compliance
Fiserv.
107 Technology Park
Norcross, GA 30092
Office: 678-375-5315
Mobile: 678-982-6599
Mail:
[hidden email]
www.fiserv.com
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Wednesday, April 11, 2012 8:21 AM
To: Smith, Dale
Cc: Jicun Zhong;
[hidden email]
Subject: Re: [Quantlib-users] [QuantLib-Users] IborIndex Fixings
vsBloomberg Fixings
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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