Re: [Quantlib-users] InterpolatedDiscountCurve Example needed

[Luigi B. <lui...@gm...>]

On 08/22/2005 09:59:51 AM, Kim, Hyung Geun wrote:
> Could someone show me simple example about how to use
> [InterpolatedDiscountCurve] ?

Let's say you have a series of discount factors such as these:
maturity     discount
1 year       0.99
2 years      0.97
5 years      0.92
10 years     0.85

You can use it as follows:

std::vector<Date> dates;
std::vector<DiscountFactor> discounts;

// add settlement date and corresponding discount
dates.push_back(settlement);
discount.push_back(1.0);

// add other dates
dates.push_back(calendar.advance(settlement,1,Years));
discount.push_back(0.99);
dates.push_back(calendar.advance(settlement,2,Years));
discount.push_back(0.97);
...

// instantiate the curve
boost::shared_ptr<TermStructure> curve(
     new InterpolatedDiscountCurve<LogLinear>(dates,discounts,
                                              Actual360()));

You can replace LogLinear with Linear, Cubic... see the ql/Math folder =20
for available interpolations.

Later,
	Luigi


----------------------------------------

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