Re: YieldCurve from discount factors

Posted by Giorgio Pazmandi on
URL: http://quantlib.414.s1.nabble.com/YieldCurve-from-discount-factors-tp7795p7799.html

Hi Cliffy, the par rate is calculated in QL with the formula
ParRate = (DF_start - DF_end) / \SUM(DF_i) = (1 - 0.995) / (0.995) =
0.0050251256281407079

Maybe I'm wrong, but I would have expected:
ParRate = (DF_start - DF_end) / \SUM(DF_i * (T_i - T_{i-1})) = (1 - 0.995) /
(0.995 * 0.02222222) = 22.6131%


If you simply wanted to evaluate a zero rate (instead of the par rate) the
call would be, for example:
r2 = refTermStructure->zeroRate(QuantLib::Date(1, October, 2004),
termStructureDayCounterX, Simple, Annual, true);
wich also gives 22.6131%


Hope that helps

Best regards,

Giorgio

> -----Original Message-----
> From: Cliffy [mailto:[hidden email]]
> Sent: mercoledì, 18. novembre 2009 21:02
> To: [hidden email]
> Subject: Re: [Quantlib-users] YieldCurve from discount factors
>
>
> Hi, I am new to quantlib, read this post and out of curiosity want to
> try it
> out.
> I thought the usage of "InterpolatedDiscountCurve" is to provide a set
> of
> "discount factors" and
> be able to calculate par rates on the curve.
>
> I use a simple unrealistic discount curve (to 30 days) -
>
> Date Disc factor
>
> Sep 23   1
> Oct 1     0.995
> Nov 3     0.992
>
> try to calculate par rate as of Oct 1, I got
>
> 0.0050251256281407079
>
> it seemd to be too small, shouldn't be around 20%??
>
> here are the codes,
>
>     vector<Date> dates;
>     vector<DiscountFactor> rates;
>     vector<Date> datesIn;
>
>     DayCounter termStructureDayCounterX = Actual360();;
>     Calendar calendarX = TARGET();
>
>     Date settlementDateX(22, September, 2004);
>     Date d1 = calendarX.advance(settlementDateX, 1,Days);
>     dates.push_back(d1);
>     d1 = calendarX.advance(settlementDateX, 7,Days);
>     dates.push_back(d1);
>     d1 = calendarX.advance(settlementDateX, 30,Days);
>     dates.push_back(d1);
>     Rate r1 = 1;
>     rates.push_back(r1);
>     r1 = 0.995;
>     rates.push_back(r1);
>     r1 = 0.992;
>     rates.push_back(r1);
>
>     Handle<YieldTermStructure>
>     refTermStructure(boost::shared_ptr<YieldTermStructure>(
>        new InterpolatedDiscountCurve<LogLinear>(dates, rates,
>     termStructureDayCounterX)));
>
>     d1 = calendarX.advance(settlementDateX, 1,Days);
>     datesIn.push_back(d1);
>     d1 = calendarX.advance(settlementDateX, 7,Days);
>     datesIn.push_back(d1);
>
>     Rate r2;
>     r2 = refTermStructure->parRate(datesIn,Annual,true);
>
>     cout << r2;  // r2 = 0.0050251256281407079
>
> What did I do wrong here??
>
> Regards,
>
> Cliff
>
> --
> View this message in context: http://old.nabble.com/YieldCurve-from-
> discount-factors-tp26375800p26414696.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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