<t>thanks for your answer, I agree with you a cumulative DF approach is more elegant, although, I find it difficult with this approach to tackle the maturities of the bonds. In my S/S I take the maturities of the bonds and they are different wether it's BTAN BTF or OAT (not the same settlement date)...

<t>Hi, I am trying to build a zero coupon curve for french bonds. I use a mix of BTF, BTAN and OAT to build my curve. I get somme funny results especially around the 2Yr BTAN, I was wondering if some of you guys could review my excel spreadsheet and eventually comment to let me know if I am right or...

<t>Hello, I am trying to install the quantlibXL addin. I have downloaded it, referenced it in XL but when I open a quantlib XL file, I get only error messages in my cells, is there something I need to do first? the documentation is quite complex and I am not an IT so I don't understand all of what n...

<t>f(t) stands for instantaneous forward rates, and F(t) for discrete forward rates. I have built my curve from a string of steps (we assume constant instantaneous forward rates by maturity segments) that I have smoothed up using a quadratic function like f(t) = a0 + a1 * t + a2 * t^2now to calculat...

from the previous function, can you confirm intervals from exp(T) to S ? how can it be possible? exp(T) would in a lot of cases be > to S !can you confirm the function?

<t>my curve is an instantaneous forward curve, ie it assumes constant instantaneous forward rates by time bucket, it looks like a curve by steps. To smooth it up, I apply a quadratic interpolation. Now to value some financial products, I need discrete forward rates like 3 month libor in 65 days time...

Hi I am trying to calculate the following equation:Does anyone could explain to me how I should proceed?excuse my lack of knowledge but I am not a quant and never got to calculate these equations...thanks a lot in advanceP

thanks would you have a calculated example?I have my forward curve where my forward rates are constant for each bucket, I applied a quadratic interpolation to have a smooth curve.thanks

Hi, can anyone tell me how do I get forward rates from an instantaneous forward rate curve?Thanks a lot

<t>Hi I am trying to value some structured products that a few of my clients are being offered by banksThey offer a discounted rate of let's say 3.50% during all the time of the loan if the difference CMSEUR10-CMSEUR02 > 0else the rate becomes the formula 5%-5*(CMSEUR10-CMSEUR02)I was wondering how ...

thanks a lot, very usefull

Hi I am looking for explanations on the piecewise constant forward rates method? how does it work and how we can use it in curve buildingas well is it equivalent to log linear discount factors? thanks !

<t>In fact I am trying to understand some of the caluculations htat are in the documentation from Jeff Greco from the university of Chicago Using a bootstrap Procedure to build a libor curveI can't get the calculation he has for the Zero rates derived from the Swap curve. and some of the results for...

thanks a lot, that would be very helpfulmace_paul@hotmail.comthanks!

thanks a lot, I have this paper already, I was more after practical example with figures etc to help me build the curve, thanks anyway