Bootstrapping zero-rate curve

[ZCEMR10]

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

[ZCEMR10]

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

[Andreas Spengler-2]

Es schrieb ZCEMR10

> Can someone please show me a basic .cpp file that can demonstrate the use
> of the classes, based on basic user data?

Have a look at the FittedBondCurve example in the Examples/ subdirectory...

Rgds,

Andreas


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[ZCEMR10]

Hi Andreas,

Thanks for your response. My knowledge of C++ is fairly basic, so I'm having difficulty honing in on the relevant areas of the code. I notice, though, that FittedBondCurve does not use either ZeroYieldStructure or ForwardRateStructure classes. What I would like to do is refer to these classes, if possible, and conduct a simple bootstrap to obtain the zero curve.

Regards,

zcemr

Andreas Spengler-2 wrote

Es schrieb ZCEMR10

> Can someone please show me a basic .cpp file that can demonstrate the use
> of the classes, based on basic user data?

Have a look at the FittedBondCurve example in the Examples/ subdirectory...

Rgds,

Andreas


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[Luigi Ballabio]

On Fri, 2009-02-27 at 03:49 -0800, ZCEMR10 wrote:
> Thanks for your response. My knowledge of C++ is fairly basic, so I'm having
> difficulty honing in on the relevant areas of the code. I notice, though,
> that FittedBondCurve does not use either ZeroYieldStructure or
> ForwardRateStructure classes. What I would like to do is refer to these
> classes, if possible, and conduct a simple bootstrap to obtain the zero
> curve.

ZeroYieldStructure and ForwardRateStructure are just interfaces.
The bootstrap code is in PiecewiseYieldCurve, which is also used in the
example. If you want to bootstrap zero rates, you can use for instance
PiecewiseYieldCurve<ZeroYield,Linear>.

Luigi


--

The most exciting phrase to hear in science, the one that heralds new
discoveries, is not "Eureka!" but "That's funny..."
-- Isaac Asimov



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[J.W. van Stuijvenberg]

Dear Zcemr,

I read your question and have the solution. On
www.van-stuijvenberg.com you can download an
add in that does the bootstrapping for you. It
converts PAR rates to Spot rates. The script is
not protected and the download is for free.
I work for many Dutch pension funds and these
kind of downloads I provide for free as a service.

Kind regards,
Jan Willem.

 

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

[주명식]

I want to develop my QuantLib library with Eclipse tool.
Does QuantLib work well with Eclipse in Windows OS?


Best Regards,
MS Joo.


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[Luigi Ballabio]

On Thu, 2009-06-25 at 18:24 +0900, 주명식 wrote:
> I want to develop my QuantLib library with Eclipse tool.
> Does QuantLib work well with Eclipse in Windows OS?

As far as I know, the Eclipse compiler is gcc, so there should be no
problem with the code.  You'll have to compile everything in the ql
directory.

Luigi


--

The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes



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