term structure if zero rates given
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term structure if zero rates given
 
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Hello,
I understand that we can create a yield term structure given bond prices etc. But if I have my zero rates already(with corresponding key dates; but not prices), and I want to create a term structure by interpolating this rates, is there any available class inherited from the TermStructure handling this directly? I am aware of some alternatives to handle this but it would be nice to have a direct way. For example, It can be done by simply applying some Interpolation Class but that way I will loss the convenience the TermStructure class provides in terms of implying forward rates and so forth. Another way I have thought about is that I could translate my zero rates back to hypothetical zero bond prices and use rate helpers etc. to create a term structure - however, the extra step of rate-price conversion may introduce to some deviations so I'd avoid this as possible. Appreciate your help! Xin |
Re: term structure if zero rates given
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InterpolatedZeroCurve (ql/termstructures/yield/zerocurve.hpp) ?
You'd need to export this through whichever interface you're using, of course - but that's a separate matter! Simon -----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of gigifaye29 Sent: 15 April 2008 15:44 To: [hidden email] Subject: [Quantlib-users] term structure if zero rates given Hello, I understand that we can create a yield term structure given bond prices etc. But if I have my zero rates already(with corresponding key dates; but not prices), and I want to create a term structure by interpolating this rates, is there any available class inherited from the TermStructure handling this directly? I am aware of some alternatives to handle this but it would be nice to have a direct way. For example, It can be done by simply applying some Interpolation Class but that way I will loss the convenience the TermStructure class provides in terms of implying forward rates and so forth. Another way I have thought about is that I could translate my zero rates back to hypothetical zero bond prices and use rate helpers etc. to create a term structure - however, the extra step of rate-price conversion may introduce to some deviations so I'd avoid this as possible. Appreciate your help! Xin -- View this message in context: http://www.nabble.com/term-structure-if-zero-rates-given-tp16701013p1670 1013.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------ - This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/j avaone _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: term structure if zero rates given
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Oh ic.
I didn't see this listed on Class Hierarchy of the QuantLib Website...but I now can find this .hpp in the QuantLib library... Thx! -----Original Message----- From: Simon Ibbotson [mailto:[hidden email]] Sent: Wednesday, April 16, 2008 12:36 PM To: Chen, Xin; [hidden email] Subject: RE: [Quantlib-users] term structure if zero rates given InterpolatedZeroCurve (ql/termstructures/yield/zerocurve.hpp) ? You'd need to export this through whichever interface you're using, of course - but that's a separate matter! Simon -----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of gigifaye29 Sent: 15 April 2008 15:44 To: [hidden email] Subject: [Quantlib-users] term structure if zero rates given Hello, I understand that we can create a yield term structure given bond prices etc. But if I have my zero rates already(with corresponding key dates; but not prices), and I want to create a term structure by interpolating this rates, is there any available class inherited from the TermStructure handling this directly? I am aware of some alternatives to handle this but it would be nice to have a direct way. For example, It can be done by simply applying some Interpolation Class but that way I will loss the convenience the TermStructure class provides in terms of implying forward rates and so forth. Another way I have thought about is that I could translate my zero rates back to hypothetical zero bond prices and use rate helpers etc. to create a term structure - however, the extra step of rate-price conversion may introduce to some deviations so I'd avoid this as possible. Appreciate your help! Xin -- View this message in context: http://www.nabble.com/term-structure-if-zero-rates-given-tp16701013p1670 1013.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------ - This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/j avaone _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ******************** NOTICE OF CONFIDENTIALITY This communication including any information transmitted with it is intended only for the use of the addressees and is confidential. If you are not an intended recipient or responsible for delivering the message to an intended recipient, any review, disclosure, conversion to hard copy, dissemination, reproduction or other use of any part of this communication is strictly prohibited, as is the taking or omitting of any action in reliance upon this communication. If you receive this communication in error or without authorization please notify us immediately by return e-mail or otherwise and permanently delete the entire communication from any computer, disk drive, or other storage medium. If the above disclaimer is not properly readable, it can be found at www.td.com/legal AVERTISSEMENT DE CONFIDENTIALITE Ce courriel, ainsi que tout renseignement ci-inclus, destiné uniquement aux destinataires susmentionnés, est confidentiel. Si vous nêtes pas le destinataire prévu ou un agent responsable de la livraison de ce courriel, tout examen, divulgation, copie, impression, reproduction, distribution, ou autre utilisation dune partie de ce courriel est strictement interdit de même que toute intervention ou abstraction à cet égard. Si vous avez reçu ce message par erreur ou sans autorisation, veuillez en aviser immédiatement lexpéditeur par retour de courriel ou par un autre moyen et supprimer immédiatement cette communication entière de tout système électronique. Si l'avis de non-responsabilité ci-dessus n'est pas lisible, vous pouvez le consulter à www.td.com/francais/legale ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: term structure if zero rates given
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In reply to this post by gigifaye29
Hi gigifaye,
i think the class template <class T> InterpolatedDiscountCurve<T>::InterpolatedDiscountCurve( const std::vector<Date>& dates, const std::vector<DiscountFactor>& discounts, const DayCounter& dayCounter, const Calendar& cal, const T& interpolator) in file QuantLib\ql\termstructures\yield\discountcurve.hpp will help you. tschüss Kim gigifaye29 schrieb: > Hello, > > I understand that we can create a yield term structure given bond prices > etc. > > But if I have my zero rates already(with corresponding key dates; but not > prices), and I want to > create a term structure by interpolating this rates, is there any available > class inherited from the TermStructure handling this directly? > > I am aware of some alternatives to handle this but it would be nice to have > a direct way. For example, > It can be done by simply applying some Interpolation Class but that way I > will loss the convenience the TermStructure class provides in terms of > implying forward rates and so forth. Another way I have thought about is > that I could translate my zero rates back to hypothetical zero bond prices > and use rate helpers etc. to create a term structure - however, the extra > step of rate-price conversion may introduce to some deviations so I'd avoid > this as possible. > > Appreciate your help! > Xin > ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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