Jump Points on Piecewise Yield Curve
Posted by
Vlad F. on
Mar 24, 2011; 6:43pm
URL: http://quantlib.414.s1.nabble.com/Jump-Points-on-Piecewise-Yield-Curve-tp8293.html
Hi,
I am trying to understand how Jump points work in Piecewise Yield Curve
My understanding is that a jump point should only effect the day that it’s applied on. For example, let say there is a RateHelper instrument going from Apr-12-2011 through May-25-2011 with a rate of 1.2% and Jump point with a date of May-5-2011 and value of 20 bps expressed as a discount factor.
What I was expecting to see if I were to extract the daily forward rate is for May-5-2011 to be affected by 20 bps.
What I see is that the jump point has affected the whole period roughly by 0.5 bps and March-15-2011 point was affected by 19.5 bps.
I am attaching a spreadsheet which contains a test cases that I put together in trying to understand it.
Any help would be appreciated.
Thanks,
Vlad
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