Smooth Forward Curve from Market Rates
Posted by newbie730 on Sep 15, 2010; 1:42pm
URL: http://quantlib.414.s1.nabble.com/Smooth-Forward-Curve-from-Market-Rates-tp640.html
I have attached a screenshot of the 3 month forwards implied by current market quotes using the Piecewise Bootstrapped Term Structure - the resulting curve, as you can see, is not smooth at all. Is it possible to get the market implied forwards with a smooth interpolation?
Note the smooth-usd.png file - is something like this possible using QuantLib and actual market rates?
Further - notice the tail end of the two curves, the QL term structure is implying forwards of > 3.5% past the 40 year point where the actual market forwards are just under 3%. This is clearly inaccurate if one were to trade a long-dated forward swap.
URL: http://quantlib.414.s1.nabble.com/Smooth-Forward-Curve-from-Market-Rates-tp640.html
I have attached a screenshot of the 3 month forwards implied by current market quotes using the Piecewise Bootstrapped Term Structure - the resulting curve, as you can see, is not smooth at all. Is it possible to get the market implied forwards with a smooth interpolation?
Note the smooth-usd.png file - is something like this possible using QuantLib and actual market rates?
Further - notice the tail end of the two curves, the QL term structure is implying forwards of > 3.5% past the 40 year point where the actual market forwards are just under 3%. This is clearly inaccurate if one were to trade a long-dated forward swap.
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