Posted by
Luigi Ballabio on
Sep 16, 2010; 9:29am
URL: http://quantlib.414.s1.nabble.com/Smooth-Forward-Curve-from-Market-Rates-tp640p645.html
On Wed, 2010-09-15 at 06:45 -0700, newbie730 wrote:
>
http://old.nabble.com/file/p29718645/USD%2B9-15-2010.png
>
http://old.nabble.com/file/p29718645/smooth-usd.png
> 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?
Luis,
what interpolation are you using, and on what? (discounts, forwards,
zeroes?) With what template arguments are you instantiating the
piecewise curve?
> 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.
Hmm. What data are you using?
Luigi
--
Better to remain silent and be thought a fool than to speak out and
remove all doubt.
-- Abraham Lincoln
------------------------------------------------------------------------------
Start uncovering the many advantages of virtual appliances
and start using them to simplify application deployment and
accelerate your shift to cloud computing.
http://p.sf.net/sfu/novell-sfdev2dev_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users