Bootstrapping zero-rate curve
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Bootstrapping zero-rate curve
by ZCEMR10
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Dear all,
I am new to QuantLib, and I would like to construct some code to generate a zero-rate curve, applying the bootstrap method to calculate zero rates for Treasuries using Treasury bond prices. I would be grateful if anyone could point me to suitable classes for this purpose. Thank you. zcemr |
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Re: Bootstrapping zero-rate curve
by ZCEMR10
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Having looked into Luigi's documents on the implementation of QuantLib, I see that the two classes ZeroYieldStructure and ForwardRateStructure can be applied to generate the zero curve. From his notes, this is donw by converting the interface in YieldTermStructure from discount-based to one based on zero-yield and instantaneous forward rates.
Can someone please show me a basic .cpp file that can demonstrate the use of the classes, based on basic user data? Thank you. Kind regards, zcemr
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Re: Bootstrapping zero-rate curve
by Andreas Spengler-2
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Es schrieb ZCEMR10
> Can someone please show me a basic .cpp file that can demonstrate the use > of the classes, based on basic user data? Have a look at the FittedBondCurve example in the Examples/ subdirectory... Rgds, Andreas ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Re: Bootstrapping zero-rate curve
by ZCEMR10
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Hi Andreas,
Thanks for your response. My knowledge of C++ is fairly basic, so I'm having difficulty honing in on the relevant areas of the code. I notice, though, that FittedBondCurve does not use either ZeroYieldStructure or ForwardRateStructure classes. What I would like to do is refer to these classes, if possible, and conduct a simple bootstrap to obtain the zero curve. Regards, zcemr
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Re: Bootstrapping zero-rate curve
by Luigi Ballabio
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On Fri, 2009-02-27 at 03:49 -0800, ZCEMR10 wrote:
> Thanks for your response. My knowledge of C++ is fairly basic, so I'm having > difficulty honing in on the relevant areas of the code. I notice, though, > that FittedBondCurve does not use either ZeroYieldStructure or > ForwardRateStructure classes. What I would like to do is refer to these > classes, if possible, and conduct a simple bootstrap to obtain the zero > curve. ZeroYieldStructure and ForwardRateStructure are just interfaces. The bootstrap code is in PiecewiseYieldCurve, which is also used in the example. If you want to bootstrap zero rates, you can use for instance PiecewiseYieldCurve<ZeroYield,Linear>. Luigi -- The most exciting phrase to hear in science, the one that heralds new discoveries, is not "Eureka!" but "That's funny..." -- Isaac Asimov ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Re: Bootstrapping zero-rate curve
by J.W. van Stuijvenberg
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Dear Zcemr, I read your question and have the solution. On www.van-stuijvenberg.com you can download an add in that does the bootstrapping for you. It converts PAR rates to Spot rates. The script is not protected and the download is for free. I work for many Dutch pension funds and these kind of downloads I provide for free as a service. Kind regards, Jan Willem.
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Does QuantLib work well with Eclipse in Windows OS?
by 주명식
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I want to develop my QuantLib library with Eclipse tool.
Does QuantLib work well with Eclipse in Windows OS? Best Regards, MS Joo. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Re: Does QuantLib work well with Eclipse in Windows OS?
by Luigi Ballabio
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On Thu, 2009-06-25 at 18:24 +0900, 주명식 wrote:
> I want to develop my QuantLib library with Eclipse tool. > Does QuantLib work well with Eclipse in Windows OS? As far as I know, the Eclipse compiler is gcc, so there should be no problem with the code. You'll have to compile everything in the ql directory. Luigi -- The young man knows the rules, but the old man knows the exceptions. -- O. W. Holmes ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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