Re: Bloomberg FWCV and QuantLib

Posted by Luigi Ballabio on May 27, 2008; 4:12pm
URL: http://quantlib.414.s1.nabble.com/Bloomberg-FWCV-and-QuantLib-tp6177p6178.html

On Sat, 2008-05-24 at 12:09 -0700, Marcus Epstein wrote:
> Does anybody know how to build a term structure that will produce the
> same spot rates BBG shows in the FWCV screens?

Hi Marcus,
        how is the Bloomberg curve defined? For example, what does it
interpolate (discounts? zero rates? continuous or compounded?) and what
interpolation does it use?

Luigi


--

Innovation is hard to schedule.
-- Dan Fylstra



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