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

Posted by StephenWong on
URL: http://quantlib.414.s1.nabble.com/Output-zero-rates-can-differ-from-the-input-rates-by-quite-a-bit-tp6690p6692.html

Luigi Ballabio wrote

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

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Yes Luigi you are right! I meant feeding those rates into the PiecewiseYieldCurve through a bunch of DepositRateHelpers.