http://quantlib.414.s1.nabble.com/Re-forward-rates-calculated-dont-match-tp889.html
> Hi,
>
> I was trying to code various examples in John C Hull "Options, futures and
> other derivatives".
>
> While calculating the forward rates from zero rates. I see a discrepancy in
> the values
>
> The program calculates the forward rates and prints
> 5.199103%
> 5.801799%
> 6.200000%
> 6.500000%
>
> the values i am expecting are ( as per the john hull textbook)
> 5.0%
> 5.8%
> 6.2%
> 6.5%
>
> Am I doing something wrong in the code ?
>
>
> The Program follows:
>
> #include <ql/quantlib.hpp>
> #include <boost/timer.hpp>
> #include <iostream>
>
> using namespace std;
> using namespace QuantLib;
>
> #if defined(QL_ENABLE_SESSIONS)
> namespace QuantLib {
>
> Integer sessionId() { return 0; }
>
> }
> #endif
>
> int main(int, char* []) {
>
> try {
>
> boost::timer timer;
> std::cout << std::endl;
>
>
> RelinkableHandle<YieldTermStructure> euriborTermStructure;
>
>
> Date todaysDate = Date(15, June, 2001);
> Settings::instance().evaluationDate() = todaysDate;
>
> Calendar calendar = NullCalendar();
>
> Date settlementDate = calendar.advance(todaysDate, 0, Days);
>
> std::cout << "Today: " << todaysDate.weekday()
> << ", " << todaysDate << std::endl;
>
> std::cout << "Settlement date: " << settlementDate.weekday()
> << ", " << settlementDate << std::endl;
>
> DayCounter termStructureDayCounter = ActualActual();
>
>
> double tolerance = 1.0e-15;
>
> std::vector<Date> ircdates;
> std::vector<Rate> ircrates;
>
> Date settlement = settlementDate;
> Date Date1 = calendar.advance(settlement, 12, Months); //13
> Date Date2 = calendar.advance(settlement, 24, Months); //14
> Date Date3 = calendar.advance(settlement, 36, Months); //14
> Date Date4 = calendar.advance(settlement, 48, Months); //14
> Date Date5 = calendar.advance(settlement, 60, Months); //14
>
>
> ircdates.push_back(Date1); ircrates.push_back(0.03);
> ircdates.push_back(Date2); ircrates.push_back(0.04);
> ircdates.push_back(Date3); ircrates.push_back(0.046);
> ircdates.push_back(Date4); ircrates.push_back(0.05);
> ircdates.push_back(Date5); ircrates.push_back(0.053);
>
>
> boost::shared_ptr<YieldTermStructure> ForecastingTermStructure(
> new ZeroCurve(ircdates,
> ircrates,termStructureDayCounter));
>
> boost::shared_ptr<IborIndex> index(new IborIndex("IRC",
> Period(Daily),
> 0,
> USDCurrency(),
> calendar,
> Unadjusted,
> true,
> termStructureDayCounter,
> euriborTermStructure));
> euriborTermStructure.linkTo(ForecastingTermStructure);
> euriborTermStructure->enableExtrapolation();
>
> std::cout<<"2
> :"<<euriborTermStructure->forwardRate(Date2,Period(Annual),termStructureDayCounter,
> Continuous) << std::endl;
> std::cout<<"3 :"<<
> euriborTermStructure->forwardRate(Date3,Period(Annual),termStructureDayCounter,
> Continuous) << std::endl;
> std::cout<<"4 :"<<
> euriborTermStructure->forwardRate(Date4,Period(Annual),termStructureDayCounter,
> Continuous) << std::endl;
> std::cout<<"5 :"<<
> euriborTermStructure->forwardRate(Date5,Period(Annual),termStructureDayCounter,
> Continuous) << std::endl;
> return 0;
>
> } catch (exception& e) {
> cerr << e.what() << endl;
> return 1;
> } catch (...) {
> cerr << "unknown error" << endl;
> return 1;
> }
> }
>
>
>
> Thanks,
> d0tc0mguy
>
> --
> View this message in context:
http://old.nabble.com/forward-rates-calculated-dont-match-tp32060733p32060733.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> AppSumo Presents a FREE Video for the SourceForge Community by Eric
> Ries, the creator of the Lean Startup Methodology on "Lean Startup
> Secrets Revealed." This video shows you how to validate your ideas,
> optimize your ideas and identify your business strategy.
>
http://p.sf.net/sfu/appsumosfdev2dev> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-usersAll generalizations are false, including this one.