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I am trying to use a zero coupon curve constructed elsewhere to price treasury bonds in RQuantLib.

The issue is that DiscountCurve does not take zero coupon yields as inputs, but rather swap rates. I guess I could construct the swap rates from zero coupons and then pass those to DiscountCurve, but is there a more direct way?

Thanks.

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  • $\begingroup$ Is there a reason not to just convert each zero coupon point into a discount factor? $\endgroup$ – Phil H May 25 '18 at 9:06
  • $\begingroup$ no, that's what I did manually in the end. but I still can't input discount factors into a DiscountCurve object in QuantLib. Was just wondering if there was a way to do this in RQuantLib! $\endgroup$ – Moritzplatz May 25 '18 at 21:04

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