Re: [Quantlib-users] Creating the zero curve

[Daniel L. <dan...@gm...>]

Hi,

I would really appreciate it if some QL expert can help me out with
the below queries.

If any other information is required, please let me know.

Many thanks for your time.

On Wed, 25 Sept 2024 at 17:12, Daniel Lobo <dan...@gm...> wrote:
>
> 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?