Bootstrapping Discount Factors with quantlib-python

[dpollini]

I am trying to bootstrap a discount factor from a collection of bonds and bond prices using quantlib-python. I am at the step where I can construct a FixedRateBond, but cannot make a FittedBondDiscountFactor. It doesn't seem that FittedBondDiscountFactor has been implemented.

Has anyone every run into this issue or know of an alternative way to extract a discount factor curve from a bunch of bonds using quantlib-python?

[Luigi Ballabio]

Hi,
    apologies for the delay, I was on vacation.
FittedBondDiscountCurve is not yet exported via SWIG.  You might try
adding it to the exported interfaces using PiecewiseYieldCurve as a
model; I'll be happy to add your patch to next release.  If you get
stuck, post to the mailing list and I'll try to help.

Luigi

On Thu, Aug 9, 2012 at 9:07 PM, dpollini <[hidden email]> wrote:

>
> I am trying to bootstrap a discount factor from a collection of bonds and
> bond prices using quantlib-python. I am at the step where I can construct a
> FixedRateBond, but cannot make a FittedBondDiscountFactor. It doesn't seem
> that FittedBondDiscountFactor has been implemented.
>
> Has anyone every run into this issue or know of an alternative way to
> extract a discount factor curve from a bunch of bonds using quantlib-python?
> --
> View this message in context: http://old.nabble.com/Bootstrapping-Discount-Factors-with-quantlib-python-tp34278689p34278689.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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