Posted by
Ferdinando M. Ametrano-2 on
URL: http://quantlib.414.s1.nabble.com/implied-term-structure-tp6909p6910.html
trsmith wrote:
> 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).
if DateB is your NPV date (i.e. you want a forward price) you might
not need step 2 at all, as you can discount to DateA and then
capitalize to DateB using the same curve
If you really need a term structure which does have discount = 1.0 at
DateB then use ImpliedTermStructure (anyway I would challenge you as
to why you need it)
> So the whole procedure doesn't work because some of the market instruments
> used in step 1 expire before Date B
which is realistic and perfectly fine in my view of the world... :-D
>, and I get a failure in
> FittedBondDiscountCurve::performCalculations() at
mmm... if I guess it right you're pricing bonds. Why don't you just
price them setting a forward date as bond settlement date?
ciao -- Nando
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