Posted by
Simon Ibbotson - Straumur on
URL: http://quantlib.414.s1.nabble.com/term-structure-if-zero-rates-given-tp5924p5926.html
InterpolatedZeroCurve (ql/termstructures/yield/zerocurve.hpp) ?
You'd need to export this through whichever interface you're using, of
course - but that's a separate matter!
Simon
-----Original Message-----
From:
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gigifaye29
Sent: 15 April 2008 15:44
To:
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Subject: [Quantlib-users] term structure if zero rates given
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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