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-tp6690p6693.html

On Fri, 2011-11-04 at 06:36 -0700, StephenWong wrote:
> > 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?

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

Then I rather expect you won't get the same rates if you ask the curve
for zero rates.  They have different conventions.

Luigi


--

The Feynman Problem Solving Algorithm:
1) Write down the problem.
2) Think very hard.
3) Write down the solution.



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