Multiple Interest Rate Curve Bootstrapping

[DirkJonkman]

Hi,

I would like to replicate the curve constructions of Ametrano and Bianchetti in the paper: "Everything you always wnated to know about multiple interest rate curve bootstrapping but were afraid to ask". Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548

According to the writers the codes used can be found on the QuantLib library. But I am not able to find these, I am a new user in the QuantLib community since today. Could someone explain to me where to find the materials from this paper and/or other multi curve bootstrapping related materials.

The writers refered to the location were the codes could be found is: "revision 18431 in the QuantLib SVN repository R01020x-branch".

Thanks in advance.

Kind regards,

Dirk Jonkman

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[Luigi Ballabio]

Hello,

    the location is kind of a red-herring. As far as I can tell, it was included in the paper (or possibly in the original one from 2009?) because the code hadn't yet been released, so one had to go find it in the development Subversion repository.  Nowadays, all the required classes are included in the QuantLib release.

This said, there's not much documentation on how to actually use them. On the one hand, the C++ library contains simple examples of using the classes, but not for something as complex as the multi-curve bootstrapping.  On the other hand, a complete multi-curve framework exists in the QuantLibXL Excel addin, but it's kind of complex and not very well documented.  Finally, as it happens, I'm in the process of reproducing the results of the Ametrano and Bianchetti paper in Python, but it's not finished yet. It will be part (warning: self-promotion ahead) of <https://leanpub.com/thequantlibnotebooks> when it's released, hopefully soon enough. It shouldn't be difficult to translate that to C++.

Hope this helps,

    Luigi

On Mon, Mar 14, 2016 at 6:36 PM Dirk Jonkman <[hidden email]> wrote:

Hi,

I would like to replicate the curve constructions of Ametrano and Bianchetti in the paper: "Everything you always wnated to know about multiple interest rate curve bootstrapping but were afraid to ask". Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548

According to the writers the codes used can be found on the QuantLib library. But I am not able to find these, I am a new user in the QuantLib community since today. Could someone explain to me where to find the materials from this paper and/or other multi curve bootstrapping related materials.

The writers refered to the location were the codes could be found is: "revision 18431 in the QuantLib SVN repository R01020x-branch".

Thanks in advance.

Kind regards,

Dirk Jonkman

------------------------------------------------------------------------------
Transform Data into Opportunity.
Accelerate data analysis in your applications with
Intel Data Analytics Acceleration Library.
Click to learn more.
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[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

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