Re: Bootstrapping zero-rate curve

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

ZCEMR10 wrote:

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