Re: [Quantlib-dev] How to construct an interest curve using an existing curve with two minor modifications?

[Francois B. <ig...@gm...>]

Hi

I hope Luigi agrees with me. For point 1, I think you should look at a
video by the master himself. https://youtu.be/pc1yOmxU2GQ

For point 2, I'm not sure whether it's possible or why you would want to do
that. Scaling the discount rate by a fixed factor would imply for instance
that the new curve would have a discount rate of 0.98 at time 0. To me,
that doesn't make sense. A discount rate should always be 1 at time 0. But
maybe I'm wrong.

Regards
Francois

On 11 Jan 2018 15:04, "zcg6433" <yuz...@gm...> wrote:

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 )



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