Re: Rate Inputs to a piecewise Yield Curve
Posted by
brb204 on
Jul 31, 2009; 11:24am
URL: http://quantlib.414.s1.nabble.com/Rate-Inputs-to-a-piecewise-Yield-Curve-tp7711p7715.html
Where can i get a short financial doc on Quantlib yiled curve?
thanks in advance
-bachalakuri
On Thu, Jul 30, 2009 at 4:10 PM, Luigi Ballabio
<[hidden email]> wrote:
On Thu, 2009-07-30 at 07:07 -0300, Piter Dias wrote:
> > E.g. 3M deposit rate of 7% (discount factor 0.983) followed by 6M
> > deposit rate of 3% (discount factor 0.985). Equivalent constraints
> > exist for zero rates, swap rates, FRA, etc
> >
> I didn't make the math, but you mean that, given two nodes, forward
> rates must not be negative (what makes a lot of sense) or forward
> rates must be greater or equal to the shortest node?
Non negative.
> What is the impact of changing the default in QuantLib (I mean, my
> change, not the QuantLib project default)?
Shouldn't be harmful, but in your shoes I'd run the test suite after the
change and see what happens.
Luigi
--
I hate quotations.
-- Ralph Waldo Emerson
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