Skip to main content

New answers tagged

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

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
  • 10.5k

Top 50 recent answers are included