CMT yield curve and Zero curve

[Guowen Han]

Hello, group;

Is there a standard way to transform the CMT yield curve to the Zero curve?
Or how should I derive the zero curve term structure?


Thanks.


Guowen

[sercan atalik-2]

 

Hello, in addition the question, is there any way to derive bootstrapped zero curves from Bonds data?

 

Regards

 

 

 

 

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From: [hidden email] [mailto:[hidden email]] On Behalf Of Guowen Han
Sent: 25 July, 2005 9:30 PM
To: [hidden email]
Subject: [Quantlib-users] CMT yield curve and Zero curve

 

Hello, group;

Is there a standard way to transform the CMT yield curve to the Zero curve?
Or how should I derive the zero curve term structure?


Thanks.


Guowen

[Luigi Ballabio]

On 07/25/2005 08:29:37 PM, Guowen Han wrote:
> Is there a standard way to transform the CMT yield curve to the Zero
> curve? Or how should I derive the zero curve term structure?

On 07/25/2005 09:13:26 PM, sercan atalik wrote:
> Hello, in addition the question, is there any way to derive
> bootstrapped zero curves from Bonds data?

Not currently. It could be done by implementing the proper rate  
helpers---SwapRateHelper might serve as a starting point to see how it  
can be done. After the rate helper is implemented, PiecewiseYieldCurve  
can be used to bootstrap the curve.

Later,
        Luigi

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All generalizations are false, including this one.
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