Re: [Quantlib-users] Creating the zero curve

[Arkadiy N. <ark...@gm...>]

Hi Daniel,

for LIBOR-like rates (provided you mean "single payment at maturity",
ignoring intricacies such as business day, settlement conventions, etc.)
you could use "simple compounding".

I may be misunderstanding your question about the dates, why wouldn't [spot
date]+[term] work?

On Fri, Sep 27, 2024 at 3:53 PM Daniel Lobo <dan...@gm...> wrote:

> Hi Francois,
>
> Thanks for your input. However the link which you have provided says
> that "Piecewise yield term structure. This term structure is
> bootstrapped on a number of interest rate instruments which are passed
> as a vector of RateHelper instances. Their maturities mark the
> boundaries of the interpolated segments."
>
> I think my problem is different. I already have rates for zeros and
> basically I want to interpolate i.e want create a curve. The quotes
> are like below (like LIBOR - I know we have moved from directly using
> LIBOR, but lets ignore that for the time being)
>
> dates = [ql.Date(31,12,2019),  ql.Date(31,12,2020),  ql.Date(31,12,2021)]
> zeros = [0.01, 0.02, 0.03]
>
> In my case, instead of actual dates I only have information like O/N,
> 6 months etc. In this way, I have below question
> 1) how should I create the dates to be passed in above method
> 2) 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
> 3) is there any approach in QL to change from discrete frequency to
> continuously compounding frequency?
>
> On Sat, 28 Sept 2024 at 00:46, Francois Botha <ig...@gm...> wrote:
> >
> > 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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