Construction of multiple yield curves

[Elise Gourier]

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Hello,

I'm looking for the implementation of the paper "Bootstrapping the illiquidity" of F.M. Ametrano and M. Bianchetti, who wrote me that the code is on the trunk QL development tree, not yet part of the latest release. Since I'm not a developer, is there any way I can have access to it?

Thanks a lot in advance.

Kind regards,

Elise Gourier

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[Luigi Ballabio]

On Aug 17, 2009, at 5:42 PM, Elise Gourier wrote:
> I'm looking for the implementation of the paper "Bootstrapping the  
> illiquidity" of F.M. Ametrano and M. Bianchetti, who wrote me that  
> the code is on the trunk QL development tree, not yet part of the  
> latest release. Since I'm not a developer, is there any way I can  
> have access to it?

Yes, see <http://quantlib.org/svn.shtml>.

Luigi


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