Re: Building Yield Curve

Posted by Bojan Nikolic on Nov 10, 2011; 4:33pm
URL: http://quantlib.414.s1.nabble.com/Autocallable-with-trinomial-tree-tp6840p6846.html


I think the problem is simply that the data you have imply you can earn
more money on the last 2.5 months of a 12 month deposit then you'd get
from the futures contract giving you an apparent negative forward
rate. Possibly you need to a credit adjustment to the deposit rates....

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

------------------------------------------------------------------------------
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