Posted by
newbie730 on
Sep 16, 2010; 1:10pm
URL: http://quantlib.414.s1.nabble.com/Smooth-Forward-Curve-from-Market-Rates-tp640p646.html
Luis,
what interpolation are you using, and on what? (discounts, forwards,
zeroes?) With what template arguments are you instantiating the
piecewise curve?
-- LogLinear interpolation on the discount rate
> 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?
-- both curves were created using the same data from Bloomberg, which is a combination of the deposit rates, futures and swap rates out to 50 yrs
Luigi
--
Better to remain silent and be thought a fool than to speak out and
remove all doubt.
-- Abraham Lincoln
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