Re: Formula for the discount of a yield curve?

Posted by Piter Dias-4 on
URL: http://quantlib.414.s1.nabble.com/Formula-for-the-discount-of-a-yield-curve-tp6098p6099.html

Mihai,

In your case (based on the code, settlement in D+0, Rate object, etc...) simple interest rates is used:
Df = 1 / (1+ 90/365 * 100%) = 0.802197802

>> Rate d1Quote=1.0;

In QuantLib when you use "Rate" it is probably simple interest rate. InterestRate class is used for more complex interest rate setup. I can't guarantee this rule will work 100% of times, but in most of the code I saw it works.

You should take a look at InterestRate code to learn how to calculate the types covered by QuantLib.

Regards,

_____________________
Piter Dias
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