Re: [Quantlib-users] Creating the zero curve

[Francois B. <ig...@gm...>]

Hi Daniel.

You will have to construct a PiecewiseYieldCurve with the appropriate
RateHelper instances as inputs. Refer to
https://quantlib-python-docs.readthedocs.io/en/latest/termstructures.html#piecewise

Regards
Francois Botha

On Wed, 25 Sept 2024, 13:45 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?
>
>
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