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From: Daniel L. <dan...@gm...> - 2024-09-25 11:42:59
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Hi, I was going through the instruction to build zero curve in https://quantlib-python-docs.readthedocs.io/en/latest/termstructures.html However as per the below, I need to pass dates as input dates = [ql.Date(31,12,2019), ql.Date(31,12,2020), ql.Date(31,12,2021)] zeros = [0.01, 0.02, 0.03] ql.ZeroCurve(dates, zeros, ql.ActualActual(), ql.TARGET()) However in my case, I have data as O/N, 1-week, 1-month etc. So my question is how should I create the dates to be passed in above method? Also, what would be the correct approach to pass the information on Compounding frequency? For tenor 1-week compounding frequency is typically weekly, for 6-months, for example, it is half-years etc. So for each tenor, the compounding frequency is different. So to pass information on the compounding frequency, should I need to convert all rates to common frequency like Continuous compounding? Is there any method in Quantlib to convert to Continuous frequency? |