Bootstrapping yield curve by imposing implied value = 0

[Federico Cozzi]

Hello,
I would like to use Quantlib to bootstrap yield curves in a multi-curve
environment.

I read Ballabio's guide "Implementing Quantlib" and browsed source code. I
understand that IterativeBootstrap's algorithm, which relies on
BootstrapHelper, tries to equate market quote with implied quote.

I would like to use a slightly different approach: I would like to equate
the implied value with 0. The result should be the same, but code could be
simpler: for instance computing the swap value could be simpler that
computing the swap par rate.
(I see that Real SwapRateHelper::impliedQuote() contains the comment "weak
implementation... to be improved")

What is the easiest way to modify Quantlib code to perform this different
algorithm? Perhaps I could write my own RateHelpers, where I redefine the
quoteError method. But since IterativeBootstrap is quite general, perhaps
there is a better method.

Regards,
Federico Cozzi


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[Luigi Ballabio]

Hi Federico,

    the easiest way might be to modify the rate helpers so that quoteError() returns the implied value. If you want to contribute the modifications, you'd also have to keep the old behavior, so you should add a boolean parameter or an enumeration to select the new or the old calculation.  This would allow you to reuse most of the current code.

Ferdinando, you wanted to work in this direction, too.  Any comments? (For instance, about extending this approach to other instruments such as deposits, FRAs or futures?)

Luigi

On Mon, Dec 21, 2015 at 11:02 AM Federico Cozzi <[hidden email]> wrote:

Hello,
I would like to use Quantlib to bootstrap yield curves in a multi-curve
environment.

I read Ballabio's guide "Implementing Quantlib" and browsed source code. I
understand that IterativeBootstrap's algorithm, which relies on
BootstrapHelper, tries to equate market quote with implied quote.

I would like to use a slightly different approach: I would like to equate
the implied value with 0. The result should be the same, but code could be
simpler: for instance computing the swap value could be simpler that
computing the swap par rate.
(I see that Real SwapRateHelper::impliedQuote() contains the comment "weak
implementation... to be improved")

What is the easiest way to modify Quantlib code to perform this different
algorithm? Perhaps I could write my own RateHelpers, where I redefine the
quoteError method. But since IterativeBootstrap is quite general, perhaps
there is a better method.

Regards,
Federico Cozzi


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