Re: Output zero rates can differ from the input rates by quite a bit

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Output-zero-rates-can-differ-from-the-input-rates-by-quite-a-bit-tp6690p6691.html

On Thu, 2011-11-03 at 13:25 -0700, StephenWong wrote:
> The problem can be essentially boiled down to if I feed a sequence of zero
> rates
> into the PiecewiseYieldCurve, use that as the YieldTermStructure in a
> PricingEngine.
> After pricing a zero coupon bond, the same sequence of zero rates I get back
> from
> the term structure are not all identical to the inputs.

What do you mean "feeding zero rates into the PiecewiseYieldCurve"?
You don't feed zero rates in that, you feed deposit rates, swap rates,
futures... Do you mean some other class?

Luigi


--

There is no opinion so absurd that some philosopher will not
express it.
-- Marcus Tullius Cicero, "Ad familiares"



------------------------------------------------------------------------------
RSA(R) Conference 2012
Save $700 by Nov 18
Register now
http://p.sf.net/sfu/rsa-sfdev2dev1
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users