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-tp6690p6697.html


On Nov 6, 2011, at 10:26 AM, StephenWong wrote:
> Thanks for the answers and your patience, Luigi! That explains why I  
> have to
> choose Compounding:Simple in YieldTermStructure::zeroRate to even  
> get those
> output rates that I listed. Anything else would give much worse rates.
>
> What is the logic behind using no compounding?

That's the way deposit rates are defined and quoted on the market.  
It's not really a QuantLib thing...

Luigi



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