Re: term structure if zero rates given

Posted by Kim Kuen Tang on
URL: http://quantlib.414.s1.nabble.com/term-structure-if-zero-rates-given-tp5924p5925.html

Hi gigifaye,

i think the class
template <class T>
    InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve(
                                 const std::vector<Date>& dates,
                                 const std::vector<DiscountFactor>&
discounts,
                                 const DayCounter& dayCounter,
                                 const Calendar& cal,
                                 const T& interpolator)
in file QuantLib\ql\termstructures\yield\discountcurve.hpp
will help you.

tschüss
Kim



gigifaye29 schrieb:

> Hello,
>
> I understand that we can create a yield term structure given bond prices
> etc.
>
> But if I have my zero rates already(with corresponding key dates; but not
> prices), and I want to
> create a term structure by interpolating this rates, is there any available
> class inherited from the TermStructure handling this directly?
>
> I am aware of some alternatives to handle this but it would be nice to have
> a direct way. For example,
> It can be done by simply applying some Interpolation Class  but that way I
> will loss the convenience the TermStructure class provides in terms of
> implying forward rates and so forth.  Another way I have thought about is
> that I could translate my zero rates back to hypothetical zero bond prices
> and use rate helpers etc. to create a term structure - however, the extra
> step of rate-price conversion may introduce to some deviations so I'd avoid
> this as possible.
>
> Appreciate your help!
> Xin
>  

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