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From: GL_QL <gl...@co...> - 2011-03-04 20:05:14
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Hey there, I am trying to bootstrap a US yield curve in QuantlibXL, but I have issues with the dates that I am getting from the function qlPiecewiseYieldCurveDates. Let's take for example the curve as of February 28th 2011. For the Deposits, I am using the UnitedKingdom::Exchange calendar, then TARGET for the Eurodollar futures, and UnitedStates::NYSE for the swaps. When creating the Future Rate Helper, I am using either the IMM codes or the IMM dates produced by the function qlIMMNextCodes or qlIMMNextDates. I then bootstrap the yield curve. When using the function qlPiecewiseYieldCurveDates to get the dates from the curve, the dates corresponding to the Eurodollar futures will be different from the maturity dates from qlIMMNextDates. For example, March 16th 2011 vs March 15th 2011, or September 15th 2011 vs September 21st 2011. What is the reason for that, and is there a way of forcing the dates ? Thanks for your help. -- View this message in context: http://old.nabble.com/Yield-Curve---Calendar-Issue-tp31070816p31070816.html Sent from the quantlib-users mailing list archive at Nabble.com. |