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2 votes

Combining term structure types in Quantlib

Currently there's no way to combine an interpolation on forwards with an interpolation on discounts. There is a MixedInterpolation class in the underlying C++ ...
Luigi Ballabio's user avatar
1 vote
Accepted

Calculating Implied rates from OIS and Futures

This sounds like something I would write. Firstly, you can't price central bank meeting expectations from a 1Y OIS rate, it does not contain sufficient information. Its like trying to forecast the ...
Attack68's user avatar
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