Re: [Quantlib-users] Discount Implementation for YieldTermStructure

[Luigi B. <lui...@gm...>]

That would be curve.discount(t+T)/curve.discount(t).

Luigi


On Fri, Nov 6, 2020 at 9:57 PM Amine Ifri <ami...@gm...> wrote:

> Hi,
>
> I am looking at using the Discount implementation method for the yield
> term structure:
>
> DiscountFactor YieldTermStructure::discount(Time t,
>                                                 bool extrapolate) const
>
> How do I calculate DF(t,t+T) where T is a tenor I am interested in, do I
> use curve.discount(t), or curve.discount(t + curve.referenceDate()) ?
>
> Thanks,
> Amine
>
>