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

[yuzhao88 <yuz...@gm...>]

You absolutely correct in that at time 0, df will be zero. However,
remember that in bullet point one, the reference date is shifted to
effectively —2. .98 is actually picked so that the df at the new reference
date is still effectively 1.

On Thu, Jan 11, 2018, 2:43 PM Francois Botha <ig...@gm...> wrote:

> 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 )
>
>
>
> --
> Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html
>
>
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