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-tp6098p6101.html

Mihai,

Your code had just one curve node, 90 days.
Everything before or after that is extrapolation and you should look at extrapolation rules before checking the discount factor.

Try adding more points in your curve.

Regarding InterestRate, I meant you should play a little with it in order to understand rate/factor conversion.


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