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From: zcg6433 <yuz...@gm...> - 2018-01-11 13:04:26
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How to construct an zero curve using an existing curve with the following two modifications? 1. move the reference date by two dates earlier. 2. Assuming the knot points of the curve are represented using discount factors, then the all of the knot points of the new curve should be 0.98 * those of the old curve. ( i.e. this has the equivalent effect of downscaling the discount factor of the original curve by 0.98 ) -- Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html |