I have questions about the evaluation date. (set up with ql.Settings.instance().evaluationDate). I'm trying to build the zero-coupon curve from deposit rates and swap rates, however I don't understand why the dates in the zero-coupon curve depend on the evaluation date, and why they don't exactly match the maturities of the swaps and the deposits. Is it a problem of working days and public holidays?

(For example, my shortest deposit rate correspond to a one day deposit rate, and the first date in my zero-coupon curve correspond to approximately 0.3 days...

The same happens with swaps, for example I use a swap with a maturity of 20 years, and I get a point at 20.016666 years in my curve instead of a point at 20 years sharp)

The difference isn't huge except for the 1 day deposit, but I'm trying to understand how it works, if anybody has an answer I would be very thankful.

PS: I thought the evalution date was the date when the rates were quoted, so I used this for the evaluation date

  • $\begingroup$ Do you have an example of the data you're using? $\endgroup$ – Luigi Ballabio Sep 9 '19 at 12:52

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