Bootsrapping in QuantLibXL

[sarpkacar]

 

Hi all,

 

I am trying to set a bootstrap excel sheet, but getting problem with cubic interpolation.

 

Could someone please check the attached excel sheet and tell me what is going wrong?

 

Thanks in advance,

Kaya

 

 

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Benefiting from Server Virtualization: Beyond Initial Workload
Consolidation -- Increasing the use of server virtualization is a top
priority.Virtualization can reduce costs, simplify management, and improve
application availability and disaster protection. Learn more about boosting
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[sarpkacar]

In fact, what exactly I wanted to do is to bootstrap forward rates by using cubic interpolation with Hyman filter. Which interpolator trait should I use? I checked the source code, in Cubic class  default c'tor monotonicity flag is set to false.

Thanks and Regards,
Kaya

sarpkacar wrote

Hi all,

I am trying to set a bootstrap excel sheet, but getting problem with cubic
interpolation.

Could someone please check the attached excel sheet and tell me what is
going wrong?

Thanks in advance,
Kaya

 
------------------------------------------------------------------------------
Benefiting from Server Virtualization: Beyond Initial Workload
Consolidation -- Increasing the use of server virtualization is a top
priority.Virtualization can reduce costs, simplify management, and improve
application availability and disaster protection. Learn more about boosting
the value of server virtualization. http://p.sf.net/sfu/vmware-sfdev2dev
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users