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  • October 25, 2022 at 1:23 pm #7120
    Anonymous
    Inactive

    Hi there!
    I’m currently trying to get familiar with ORE and I wondered, is there a way to e.g. input a yield curve gained from 3M Fixed-to-Floating-Swaps and use it for further prizing, rather than only use market data?
    Thanks a lot in advance!

    November 21, 2022 at 5:39 pm #7122
    Peter Caspers
    Keymaster

    Hi – apologies I don’t quite get what you mean. Can you elaborate a bit what you want to do?

    January 31, 2023 at 1:38 pm #7138
    Anonymous
    Inactive

    Hi, sorry for being unclear. My question is, whether there is a way to use a zero rates to prize a swap. Because the the Simple node curveconfig.xml won’t allow zero rates. Best regards!

    February 21, 2023 at 12:41 pm #7139
    Anonymous
    Inactive

    Hi,
    I resolved the issue, I used “<Quote>ZERO/RATE/…</Quote> but listed these entries under <Simple> instead of a <Direct> node.

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