[Quantlib-users] Bootstrapped Yield Curve extrapolation help

[Jonathan G. <Jon...@ni...>]

Hi All,

I am hoping that I might be able to get some help from this forum.

Context:
I am trying to bootstrap a yield curve using piecewise flat forward interpolation between market obtained rates. Here is my output:

[cid:image003.png@01D9D69D.7A43BF10]

I am using python and my curve construction is quite straight forward with extrapolation enabled(I understand I am committing the cardinal sin by not posting my code, but hoping that this is theoretical enough a question for a straight forward answer)

Question:
Is it possible to fix the final zero rate post maturity of the last bond? It seems that enableExtrapolation is fixing the final forward rate making the zero rate decay over time. I am trying to avoid creating a custom function to return zero and forward rates post maturity of the final bond.
I have tried create two curves (a linear flat forward curve and a regular flat forward curve) and combining using CompositeZeroYieldStructure however I'm not sure which binary function to pass into the function.

Any help would be appreciated.
Regards

Jonathan George
Quantitative Developer
T:+27 21 901 1363
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