Posted by
mudcrab on
URL: http://quantlib.414.s1.nabble.com/implied-term-structure-tp6909.html
Firstly, thanks to Luigi and others for answering my questions in the past.
Here's what I am trying to do at present:
1. Build a fitted term structure at Date A
2. Derive the implied term structure at Date B.
3. Price some fixed income instruments at Date B with the implied term
structure (i.e. assuming the forward term structure, implied at Date A,
obtains at Date B).
So the whole procedure doesn't work because some of the market instruments
used in step 1 expire before Date B, and I get a failure in
FittedBondDiscountCurve::performCalculations() at
QL_REQUIRE(BondFunctions::isTradable(*bond, bondSettlement),
io::ordinal(i+1) << " bond non tradable at " <<
bondSettlement << " settlement date (maturity"
" being " << bond->maturityDate() << ")");
Is there a clever way to disassociate the curve in step 2 from the curve
in step 1? (Exporting the rates from the curve in step 2 and building an
InterpolatedZeroCurve to be used in step 3 is one possibility, but it
doesn't seem terribly clever).
Thanks again.
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