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Modifying FittedBondDiscountCurve

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Nicholas Manganaro-2

Modifying FittedBondDiscountCurve

I was taking a look at <ql/termstructures/yield/fittedbonddiscountcurve.hpp> and saw the note:

\todo refactor the bond helper class so that it is pure

virtual and returns a generic bond or its cash

flows. Derived classes would include helpers for

fixed-rate and zero-coupon bonds. In this way, both

bonds and bills can be used to fit a discount curve

using the exact same machinery. At present, only

fixed-coupon bonds are supported. An even better way to

move forward might be to get rate helpers to return

cashflows, in which case this class could be used to fit

any set of cash flows, not just bonds.

I would like to include discount instruments in curve construction, if possible. Has anyone made progress along that path, perhaps on the line of the steps identified in this note?

I would appreciate advice or comments on the work necessary to use generic cash flows in this process, if it would not require a major re-write of the library.

Thanks.

-Nick

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Allen Kuo-2

Re: Modifying FittedBondDiscountCurve

Nick: I haven't looked at this in a long time but could you created instances of discount bonds as special cases of a fixed rate bonds with a single cash flow, i.e. would the current code still work with FixedRateBondHelpers ?

If so, then I probably should change the To Do in the documentation.

Allen

On Friday, 4 July 2014, 19:54, Nicholas Manganaro <[hidden email]> wrote:

I was taking a look at <ql/termstructures/yield/fittedbonddiscountcurve.hpp> and saw the note:

\todo refactor the bond helper class so that it is pure

virtual and returns a generic bond or its cash

flows. Derived classes would include helpers for

fixed-rate and zero-coupon bonds. In this way, both

bonds and bills can be used to fit a discount curve

using the exact same machinery. At present, only

fixed-coupon bonds are supported. An even better way to

move forward might be to get rate helpers to return

cashflows, in which case this class could be used to fit

any set of cash flows, not just bonds.

I would like to include discount instruments in curve construction, if possible. Has anyone made progress along that path, perhaps on the line of the steps identified in this note?

I would appreciate advice or comments on the work necessary to use generic cash flows in this process, if it would not require a major re-write of the library.

Thanks.

-Nick

Nicholas Manganaro-2

Re: Modifying FittedBondDiscountCurve

Thanks for your timely response, Allen.

I thought (and hoped) the note might be old. I’ll look into an answer to your question, and get back to you.

From: Allen Kuo [mailto:[hidden email]]
Sent: Friday, July 04, 2014 8:10 AM
To: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] Modifying FittedBondDiscountCurve

If so, then I probably should change the To Do in the documentation.

Allen

On Friday, 4 July 2014, 19:54, Nicholas Manganaro <[hidden email]> wrote:

I was taking a look at <ql/termstructures/yield/fittedbonddiscountcurve.hpp> and saw the note:

\todo refactor the bond helper class so that it is pure

virtual and returns a generic bond or its cash

flows. Derived classes would include helpers for

fixed-rate and zero-coupon bonds. In this way, both

bonds and bills can be used to fit a discount curve

using the exact same machinery. At present, only

fixed-coupon bonds are supported. An even better way to

move forward might be to get rate helpers to return

cashflows, in which case this class could be used to fit

any set of cash flows, not just bonds.

I would like to include discount instruments in curve construction, if possible. Has anyone made progress along that path, perhaps on the line of the steps identified in this note?

I would appreciate advice or comments on the work necessary to use generic cash flows in this process, if it would not require a major re-write of the library.

Thanks.

-Nick