Posted by
gigifaye29 on
URL: http://quantlib.414.s1.nabble.com/term-structure-if-zero-rates-given-tp5924p5927.html
Oh ic.
I didn't see this listed on Class Hierarchy of the QuantLib Website...but I now can find this .hpp in the QuantLib library...
Thx!
-----Original Message-----
From: Simon Ibbotson [mailto:
[hidden email]]
Sent: Wednesday, April 16, 2008 12:36 PM
To: Chen, Xin;
[hidden email]
Subject: RE: [Quantlib-users] term structure if zero rates given
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:
[hidden email]
[mailto:
[hidden email]] On Behalf Of
gigifaye29
Sent: 15 April 2008 15:44
To:
[hidden email]
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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